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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Bibliographic Details

Main Author:	Holtz, Markus
Corporate Author:	SpringerLink (Online service)
Format:	Electronic Resource
Language:	English
Published:	Heidelberg Springer c2011 Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Series:	Lecture notes in computational science and engineering 77
Subjects:	Numerical analysis. Finance > Mathematical models. Risk > Mathematical models. Electronic books.
Online Access:	Available for the University of the Philippines Diliman via SpringerLink. Click here to access