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X. Huang, C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)

2007

Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

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

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Keywords saddlepoint approximation
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher Risk Publications
Journal Journal of Computational Finance
Organisation Scientific Computing
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Huang, X, Oosterlee, C.W, & van der Weide, J.A.M. (2007). Higher order saddlepoint approximations in the Vasicek portfolio credit loss model. Journal of Computational Finance, 11(1), 93–113.
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See Also
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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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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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