Adaptive integration for multi-factor portfolio credit loss models
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Publication:2271942
DOI10.1016/j.cam.2009.03.017zbMath1169.91016MaRDI QIDQ2271942
Cornelis W. Oosterlee, Xinzheng Huang
Publication date: 5 August 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.03.017
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
65D30: Numerical integration
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