Credit risk contributions under the Vasicek one-factor model : a fast wavelet expanison approximation
Luis Ortiz-Garcia; Josep J. Masdemont
| Year of publication: |
2014
|
|---|---|
| Authors: | Ortiz-Garcia, Luis ; Masdemont, Josep J. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 17.2014, 4, p. 59-97
|
| Subject: | Kreditrisiko | Credit risk | Zustandsraummodell | State space model | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010387857