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

• Main Author: Holtz, Markus (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Series: Lecture Notes in Computational Science and Engineering, 77
• Subjects: Mathematics.; Economics, Mathematical.; Computer mathematics.; Computational Mathematics and Numerical Analysis.; Quantitative Finance.

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 tran...