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...

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Hlavní autor:	Holtz, Markus
Korporativní autor:	SpringerLink (Online service)
Médium:	Electronic Resource
Jazyk:	English
Vydáno:	Heidelberg Springer c2011 Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Edice:	Lecture notes in computational science and engineering 77
Témata:	Numerical analysis. Finance > Mathematical models. Risk > Mathematical models. Electronic books.
On-line přístup:	Available for the University of the Philippines Diliman via SpringerLink. Click here to access