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

von Markus Holtz
Leider ausverkauft.
Wir sind aber schon dabei für Nachschub zu sorgen.
inklusive MwSt. - GRATIS LIEFERUNG
Markus Holtz Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Markus Holtz - Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance

Dir gefällt dieses Produkt? Sag's weiter!

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.

Mitwirkende

Autor:
Markus Holtz

Weitere Informationen

Anmerkung Illustrationen:
32 SW-Abb.
Bemerkungen:

Includes supplementary material: sn.pub/extras

Medientyp:
Buch gebunden
Verlag:
Springer Berlin
Biografie:
• 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
Sprache:
Englisch
Seitenanzahl:
192

Stammdaten

Produkttyp:
Buch Gebunden
Verpackungsabmessungen:
0.234 x 0.155 x 0.015 m; 0.408 kg
GTIN:
09783642160035
DUIN:
BN270RP95IG
Wir nutzen Cookies auf unserer Website, um deinen Besuch effizienter zu gestalten und dir mehr Benutzerfreundlichkeit bieten zu können. Klicke daher bitte auf "Cookies akzeptieren"! Nähere Informationen findest du in unserer Datenschutzerklärung.