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The Asymptotic Expansion

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

In this chapter, we relax the homogeneous portfolio assumption, and we derive an asymptotic series expansion of the \(k{\text {th}}\)-to-default Q-factor in the non-homogeneous case. We also show how to compute the conditional aggregate default distributions that appear in the expansion using the convolution recursion algorithm.

References

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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