Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
Journal Article
(2006)
Author(s)
X Huang (TU Delft - Numerical Analysis)
CW Oosterlee (TU Delft - Numerical Analysis)
J.A.M. van der Weide (TU Delft - Applied Probability)
Research Group
Numerical Analysis
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https://resolver.tudelft.nl/uuid:7583868b-0338-4e4a-8ff9-040c6b4b2ff5
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Publication Year
2006
Research Group
Numerical Analysis
Issue number
08
Volume number
06
Pages (from-to)
1-18
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