This paper presents correction terms to the tangent approximation for the first-exit density of Brownian motion at distant boundaries. These lead to second-order approximations to the first-exit ...
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel ...
Check out this spice amplifier model. A basic Spice model that simulates an amplifier’s bandwidth, magnitude, phase, and transient response can be up and running in as little as three lines of code.
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