ENGLISH

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

By Markus Holtz (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2011
ISBN
3642160034, 9783642160035, 9783642160042
DOI
10.1007/978-3-642-16004-2
Language
english
Format
PDF
Filesize
5 MB (4790604 bytes)
Series
Lecture Notes in Computational Science and Engineering 77
Edition
1
Pages
192\198
Scanned
yes
Time added
2012-03-17 06:00:00
Computational Mathematics and Numerical Analysis;

Description

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.

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