We investigate a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials. This framework was first discussed in "An analytical framework for ...

The construction of space curves with rational rotation-minimizing frames (RRMF curves) by the interpolation of G 1 Hermite data, i.e., initial/final points p i and p f and frames (t i , u i , v i ) ...

In this paper, we propose a novel multifactor analytic framework for credit portfolio modeling that incorporates the impact of the probability of default-loss given default correlation. In particular, ...