Gaussian quadrature is
A. A quadratic spline approximation to a normal distribution
B. A way to approximate an integral of a function of a normally distribute variable as a sum of terms
C. A procedure for speeding up Monte Carlo simulation when credit derivatives are valued
D. An alternative to a look up table to determining values of the cumulative normal distribution
B
Gaussian quadrature is a way of integrating over a normally distributed factor when CDOs are valued using the Gaussian copula model. Extreme values of the factor are considered appropriately
You might also like to view...
"dateOfBirth" is a correct name for ________
A) an attribute B) a operation C) an object D) a class
Clean Sweep, Inc. paid $7,200 on May 1, 2011 for 12 months' insurance coverage starting May 1. How much insurance expense should appear on the company's balance sheet at December 31, 2011?
A) $7,200 B) $4,200 C) $4,800 D) $0. Insurance expense does not appear on the balance sheet.