Evaluation of Cumulative Random Shocks Generated from a Semi-Markov Modulated Poisson Process and Its Application to CDO Pricing
| Year of publication: |
2012
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|---|---|
| Authors: | Huang, Jia-Ping ; Sumita, Ushio |
| Published in: |
Journal of the Operations Research Society of Japan : JORSJ. - Tokyo : Soc., ISSN 0453-4514, ZDB-ID 715544x. - Vol. 55.2012, 2, p. 158-158
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