A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model (Q2452285)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model |
scientific article |
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A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model (English)
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2 June 2014
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Haar wavelets
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finite series expansion
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cubic spline interpolation
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Vasicek multi-factor model
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