Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model

X Huang, CW Oosterlee, JAM van der Weide

Research output: Contribution to journal › Article › Professional

Original language	Undefined/Unknown
Pages (from-to)	1-18
Number of pages	18
Journal	Reports of the Department of Applied Mathematical Analysis
Volume	06
Issue number	08
Publication status	Published - 2006

Keywords

@article{7583868b03384e4a8ff9040c6b4b2ff5,

title = "Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model",

keywords = "Vakpubl., Overig wet. > 3 pag",

author = "X Huang and CW Oosterlee and {van der Weide}, JAM",

year = "2006",

language = "Undefined/Unknown",

volume = "06",

pages = "1--18",

journal = "Reports of the Department of Applied Mathematical Analysis",

issn = "1389-6520",

number = "08",

}

TY - JOUR

T1 - Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model

AU - Huang, X

AU - Oosterlee, CW

AU - van der Weide, JAM

PY - 2006

Y1 - 2006

KW - Vakpubl., Overig wet. > 3 pag

M3 - Article

SN - 1389-6520

VL - 06

SP - 1

EP - 18

JO - Reports of the Department of Applied Mathematical Analysis

JF - Reports of the Department of Applied Mathematical Analysis

IS - 08

ER -