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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance (Lecture Notes in Computational Science and Engineering, 77, Band 77) - Hardcover

Buch 52 von 111: Lecture Notes in Computational Science and Engineering

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9783642160035: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance (Lecture Notes in Computational Science and Engineering, 77, Band 77)
Hardcover
ISBN 10: 3642160034 ISBN 13: 9783642160035
Verlag: Springer, 2010

Inhaltsangabe

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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Über die Autorin bzw. den Autor

• Scientific employee at the Institute for Numerical Simulation at the University of Bonn (July 2004 - January 2009) • Involved in several teaching activities and research projects in the area of computational finance partly in close cooperation with financial institutions • Since January 2009 at head office of Baloise Group working on the introduction of stochastic models for life insurance portfolios

Von der hinteren Coverseite

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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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3642160034
ISBN 13 
9783642160035
Einband
Gebundene Ausgabe
Anzahl der Seiten
200
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