Sparse grid quadrature in high dimensions with applications in finance and insurance
Author(s)
Bibliographic Information
Sparse grid quadrature in high dimensions with applications in finance and insurance
（Lecture notes in computational science and engineering, 77）
Springer, c2011
Available at / 2 libraries
-
No Libraries matched.
- Remove all filters.
Note
Includes bibliographical references (p. 172-178) and index
Description and Table of Contents
Description
This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.
by "Nielsen BookData"
