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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance PDF

198 Pages·2011·4.569 MB·English
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by Markus Holtz (auth.)| 2011| 198 pages| 4.569| English

About 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 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.

Detailed Information

Author:Markus Holtz (auth.)
Publication Year:2011
ISBN:9783642160042
Pages:198
Language:English
File Size:4.569
Format:PDF
Price:FREE
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