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

by Markus Holtz
Save 35% Save 35%
Current price ₹3,672.00
Original price ₹5,649.00
Original price ₹5,649.00
Original price ₹5,649.00
(-35%)
₹3,672.00
Current price ₹3,672.00

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Book cover type: Hardcover
  • ISBN13: 9783642160035
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 192
  • Original Price: EUR 49.99
  • Language: English
  • Edition: 2011
  • Item Weight: 310 grams
  • BISAC Subject(s): Number Systems, Finance / General, and Counting & Numeration

From the Back Cover
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

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