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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance

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This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and... Weiterlesen
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Beschreibung

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.

• 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

Autorentext
• 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

Produktinformationen

Titel: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Autor:
EAN: 9783642160042
ISBN: 978-3-642-16004-2
Digitaler Kopierschutz: Wasserzeichen
Format: E-Book (pdf)
Herausgeber: Springer
Genre: Grundlagen
Anzahl Seiten: 192
Veröffentlichung: 22.10.2010
Jahr: 2010
Untertitel: Englisch
Dateigrösse: 3.9 MB

Weitere Bände aus der Buchreihe "Lecture Notes in Computational Science and Engineering"