Jia-Ping Huang

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The class of counting processes constitutes a significant part of applied probability. The classic counting processes include Poisson processes, nonhomogeneous Poisson processes, and renewal processes. More sophisticated counting processes, including Markov renewal processes, Markov modulated Poisson processes, age-dependent counting processes, and the(More)
During the past decade, a structured financial product called “Collateralized Debt Obligation (CDO)” has been drawing much attention of researchers and practitioners, and is now traded with growing liquidity. However, the approach for CDO pricing has been rather limited in the literature, largely because it is necessary to evaluate the time dependent(More)
A stochastic process of Vasicek type describing the short rate is considered, where the three governing parameters {φ,α, σ}, with φ for the market fitting, α for the reversion and σ for the volatility, would depend on the macro-economic condition modeled as an independent birth-death process on a finite state space. Computational algorithms are developed(More)
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