Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance is popular PDF and ePub book, written by Markus Holtz in 2010-10-22, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance can be Read Online from any device for your convenience.
Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance Book PDF 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.
Detail Book of Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance PDF
- Author : Markus Holtz
- Release : 22 October 2010
- Publisher : Springer Science & Business Media
- ISBN : 9783642160042
- Genre : Mathematics
- Total Page : 194 pages
- Language : English
- PDF File Size : 21,6 Mb
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