Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
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 tran...
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2011, 2011
|
| Edition: | 1st ed. 2011 |
| Series: | Lecture Notes in Computational Science and Engineering
|
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
| Summary: | 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 |
|---|---|
| Physical Description: | VIII, 192 p. 32 illus online resource |
| ISBN: | 9783642160042 |