Sparse grid quadrature in high dimensions with applications in finance and insurance

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...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Holtz, Markus
Körperschaft:	SpringerLink (Online service)
Format:	Electronic Resource
Sprache:	English
Veröffentlicht:	Heidelberg Springer c2011 Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Schriftenreihe:	Lecture notes in computational science and engineering 77
Schlagworte:	Numerical analysis. Finance > Mathematical models. Risk > Mathematical models. Electronic books.
Online Zugang:	Available for the University of the Philippines Diliman via SpringerLink. Click here to access