Evaluation of Cumulative Random Shocks Generated from a Semi-Markov Modulated Poisson Process and its Application to Cdo Pricing

J. Huang, U. Sumita

    Research output: Contribution to JournalArticleAcademicpeer-review

    Original languageEnglish
    Pages (from-to)158-180
    Number of pages23
    JournalJournal of the Operations Research Society of Japan
    Volume55
    Issue number2
    DOIs
    Publication statusPublished - 2012

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