A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (Q2843200)

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A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
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    A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (English)
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    9 August 2013
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    Vasicek multi-factor model
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    Haar wavelets
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    finite series expansion
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    Wynn's epsilon-algorithm
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    spline interpolation
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    value at risk
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    numerical examples
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