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02346nam a22004455i 4500 |
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978-3-642-16004-2 |
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DE-He213 |
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20151125021125.0 |
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cr nn 008mamaa |
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101029s2011 gw | s |||| 0|eng d |
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|a 9783642160042
|9 978-3-642-16004-2
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|a 10.1007/978-3-642-16004-2
|2 doi
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|a QA71-90
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|a PBKS
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|a MAT006000
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|a 518
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|a Holtz, Markus.
|e author.
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|a Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
|h [electronic resource] /
|c by Markus Holtz.
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2011.
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| 300 |
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|a VIII, 192 p. 32 illus.
|b online resource.
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|a text
|b txt
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|a computer
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|a online resource
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|a text file
|b PDF
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|a Lecture Notes in Computational Science and Engineering,
|x 1439-7358 ;
|v 77
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|a 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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|a Mathematics.
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|a Economics, Mathematical.
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|a Computer mathematics.
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|a Mathematics.
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|a Computational Mathematics and Numerical Analysis.
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|a Quantitative Finance.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783642160035
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|a Lecture Notes in Computational Science and Engineering,
|x 1439-7358 ;
|v 77
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|u http://dx.doi.org/10.1007/978-3-642-16004-2
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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|a Mathematics and Statistics (Springer-11649)
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