Adaptive integration for multi-factor portfolio credit loss models

Title

Adaptive integration for multi-factor portfolio credit loss models

Author

Huang, X.
Oosterlee, C.W.

Faculty

Electrical Engineering, Mathematics and Computer Science

Date

2007

To reference this document use:

http://resolver.tudelft.nl/uuid:0c061562-0a57-496f-93c9-15a06e41c026

Publisher

Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics

ISSN

1389-6520

Source

Reports of the Department of Applied Mathematical Analysis, 07-13

Part of collection

Institutional Repository

Document type

report

Rights

(c) 2007 X. Huang; C.W. Oosterlee