Description: Sparse Grid Quadrature in High Dimensions With Applications in Finance and Insurance, Paperback by Holtz, Markus, ISBN 3642265634, ISBN-13 9783642265631, Like New Used, Free shipping in the US 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. Th 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.
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Book Title: Sparse Grid Quadrature in High Dimensions With Applications in Fi
Number of Pages: VIII, 192 Pages
Language: English
Publication Name: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Publisher: Springer Berlin / Heidelberg
Subject: Finance / General, Decision-Making & Problem Solving, Numerical Analysis, Applied
Publication Year: 2012
Item Height: 0.2 in
Item Weight: 16 Oz
Type: Textbook
Author: Markus Holtz
Subject Area: Mathematics, Business & Economics
Item Length: 9.3 in
Series: Lecture Notes in Computational Science and Engineering Ser.
Item Width: 6.1 in
Format: Trade Paperback
