Holtz, Markus.
Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance [electronic resource] / by Markus Holtz. - VIII, 192 p. online resource. - Lecture Notes in Computational Science and Engineering, 77 1439-7358 ; . - Lecture Notes in Computational Science and Engineering, 77 .
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.
9783642160042
10.1007/978-3-642-16004-2 doi
Mathematics.
Finance.
Computer science--Mathematics.
Mathematics.
Computational Mathematics and Numerical Analysis.
Quantitative Finance.
QA71-90
518 518
Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance [electronic resource] / by Markus Holtz. - VIII, 192 p. online resource. - Lecture Notes in Computational Science and Engineering, 77 1439-7358 ; . - Lecture Notes in Computational Science and Engineering, 77 .
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.
9783642160042
10.1007/978-3-642-16004-2 doi
Mathematics.
Finance.
Computer science--Mathematics.
Mathematics.
Computational Mathematics and Numerical Analysis.
Quantitative Finance.
QA71-90
518 518