A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model (Q2452285)
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scientific article; zbMATH DE number 6299238
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| English | A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model |
scientific article; zbMATH DE number 6299238 |
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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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0.9850773215293884
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0.8640683889389038
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0.8280490636825562
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0.8086264729499817
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