Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Markus Holtz
okt. 2010 · Lecture Notes in Computational Science and Engineering Bog 77 · Springer Science & Business Media
E-bog
192
Sider
reportBedømmelser og anmeldelser verificeres ikke Få flere oplysninger
Om denne e-bog
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.
Om forfatteren
• 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
Bedøm denne e-bog
Fortæl os, hvad du mener.
Oplysninger om læsning
Smartphones og tablets
Installer appen Google Play Bøger til Android og iPad/iPhone. Den synkroniserer automatisk med din konto og giver dig mulighed for at læse online eller offline, uanset hvor du er.
Bærbare og stationære computere
Du kan høre lydbøger, du har købt i Google Play via browseren på din computer.
e-læsere og andre enheder
Hvis du vil læse på e-ink-enheder som f.eks. Kobo-e-læsere, skal du downloade en fil og overføre den til din enhed. Følg den detaljerede vejledning i Hjælp for at overføre filerne til understøttede e-læsere.
