000 02336nam a22004575i 4500
001 978-3-642-16004-2
003 DE-He213
005 20140220083748.0
007 cr nn 008mamaa
008 101029s2011 gw | s |||| 0|eng d
020 _a9783642160042
_9978-3-642-16004-2
024 7 _a10.1007/978-3-642-16004-2
_2doi
050 4 _aQA71-90
072 7 _aPBKS
_2bicssc
072 7 _aMAT006000
_2bisacsh
082 0 4 _a518
_223
082 0 4 _a518
_223
100 1 _aHoltz, Markus.
_eauthor.
245 1 0 _aSparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
_h[electronic resource] /
_cby Markus Holtz.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2011.
300 _aVIII, 192 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Computational Science and Engineering,
_x1439-7358 ;
_v77
520 _aThis 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.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aComputer science
_xMathematics.
650 1 4 _aMathematics.
650 2 4 _aComputational Mathematics and Numerical Analysis.
650 2 4 _aQuantitative Finance.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642160035
830 0 _aLecture Notes in Computational Science and Engineering,
_x1439-7358 ;
_v77
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-16004-2
912 _aZDB-2-SMA
999 _c107106
_d107106