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 › Scientific

Original language	Undefined/Unknown
Pages (from-to)	93-113
Number of pages	21
Journal	The Journal of Computational Finance
Volume	11
Issue number	1
Publication status	Published - 2007

Cite this

@article{d423053d1a404269b6ef0c22e27030fd,

title = "Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model",

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

year = "2007",

language = "Undefined/Unknown",

volume = "11",

pages = "93--113",

journal = "The Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "1",

}