Willkommen, schön sind Sie da!
Logo Ex Libris

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

  • Fester Einband
  • 182 Seiten
(0) Erste Bewertung abgeben
Bewertungen
(0)
(0)
(0)
(0)
(0)
Alle Bewertungen ansehen
Leseprobe
This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and... Weiterlesen
CHF 136.00
Auslieferung erfolgt in der Regel innert 2 bis 4 Werktagen.
Bestellung & Lieferung in eine Filiale möglich

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.

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: 9783642160035
ISBN: 3642160034
Format: Fester Einband
Herausgeber: Springer-Verlag GmbH
Genre: Mathematik
Anzahl Seiten: 182
Gewicht: 471g
Größe: H241mm x B160mm x T16mm
Veröffentlichung: 01.11.2010
Jahr: 2010
Auflage: 2011

Weitere Produkte aus der Reihe "Lecture Notes in Computational Science and Engineering"