2007
Higher order saddlepoint approximations in the Vasicek portfolio credit loss model
Publication
Publication
Journal of Computational Finance , Volume 11 - Issue 1 p. 93- 113
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Risk Publications | |
Journal of Computational Finance | |
Organisation | Scientific Computing |
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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