Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering) - Tapa dura

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9783642160035: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering)
Tapa dura
ISBN 10: 3642160034 ISBN 13: 9783642160035
Editorial: Springer, 2010

Sinopsis

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.

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Acerca del autor

• 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

De la contraportada

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2010
Idioma
Inglés
ISBN 10 
3642160034
ISBN 13 
9783642160035
Encuadernación
Tapa dura
Número de páginas
200
Contacto del fabricante
no disponible
Persona responsable
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Hamburg
Alemania

Otras ediciones populares con el mismo título

9783642265631: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering)

Edición Destacada

ISBN 10:  3642265634 ISBN 13:  9783642265631
Editorial: Springer, 2012
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