A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk
DOI10.14495/JSIAML.4.13zbMath1271.91108OpenAlexW2065024270MaRDI QIDQ2843200
Publication date: 9 August 2013
Published in: JSIAM Letters (Search for Journal in Brave)
Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=4_0_13&screenID=AF06S010&noVol=4&noIssue=0
numerical examplesspline interpolationHaar waveletsvalue at riskfinite series expansionVasicek multi-factor modelWynn's epsilon-algorithm
Numerical methods for wavelets (65T60) Spline approximation (41A15) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Portfolio theory (91G10) Credit risk (91G40)
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