Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model

X Huang, CW Oosterlee, JAM van der Weide

Research output: Contribution to journalArticleProfessional

Original languageUndefined/Unknown
Pages (from-to)1-18
Number of pages18
JournalReports of the Department of Applied Mathematical Analysis
Issue number08
Publication statusPublished - 2006


  • Vakpubl., Overig wet. > 3 pag

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