00000cmm a22000004a 4500 UP-99796217611212536 Buklod 20230215085534.0 m go j cr |n |||auu|a 101029s2011 xx u | eng d 9783642160042 (eBook) 3642160042 (eBook) (iLib)UPD-00215704332 DLC DML eng DMLUC QA 297 H65 2011eb Holtz, Markus Sparse grid quadrature in high dimensions with applications in finance and insurance [electronic resource] Markus Holtz. Heidelberg Springer c2011 Berlin, Heidelberg Springer Berlin Heidelberg 2011. 1 online resource (viii, 189 p.) ill. Lecture notes in computational science and engineering 77 IP-based subscription, access limited to within on-campus computer network. Access via Electronic Resources of the UPD University Library Website. 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. Electronic reproduction. New York Springerlink 2011. Available via World Wide Web through SpringerLink. Numerical analysis. Finance Mathematical models. Risk Mathematical models. Electronic books. SpringerLink (Online service). Electronic Resource Available for the University of the Philippines Diliman via SpringerLink. Click here to access http://link.springer.com/book/10.1007/978-3-642-16004-2 FO Monograph UPD DMLR Electronic Resource