Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

2007

Journal of Computational Finance , Volume 11 - Issue 1 p. 93- 113

Additional Metadata
Keywords	saddlepoint approximation
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	Risk Publications
Journal	Journal of Computational Finance
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Huang, X., Oosterlee, K., & van der Weide, H. (2007). Higher order saddlepoint approximations in the Vasicek portfolio credit loss model. Journal of Computational Finance, 11(1), 93–113.

See Also
article Multigrid for high-dimensional elliptic partial differential equations on non-equidistant grids H. bin Zubair, C.W. Oosterlee (Kees) and R. Wienands
article Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model -- a comparative study X. Huang, C.W. Oosterlee (Kees) and M.A.M. Mesters
article Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model -- a comparative study X. Huang, C.W. Oosterlee (Kees) and M.A.M. Mesters
article Multigrid for high-dimensional elliptic partial differential equations on non-equidistant grids H. bin Zubair, C.W. Oosterlee (Kees) and R. Wienands

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