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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
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 tran...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2011.
|
| Edición: | 1st ed. 2011. |
| Colección: | Lecture Notes in Computational Science and Engineering,
77 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 001 | 978-3-642-16004-2 | ||
| 003 | DE-He213 | ||
| 005 | 20220118174308.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 101029s2011 gw | s |||| 0|eng d | ||
| 020 | |a 9783642160042 |9 978-3-642-16004-2 | ||
| 024 | 7 | |a 10.1007/978-3-642-16004-2 |2 doi | |
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| 100 | 1 | |a Holtz, Markus. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance |h [electronic resource] / |c by Markus Holtz. |
| 250 | |a 1st ed. 2011. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2011. | |
| 300 | |a VIII, 192 p. 32 illus. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Lecture Notes in Computational Science and Engineering, |x 2197-7100 ; |v 77 | |
| 520 | |a 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. | ||
| 650 | 0 | |a Mathematics-Data processing. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 1 | 4 | |a Computational Mathematics and Numerical Analysis. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783642265631 |
| 776 | 0 | 8 | |i Printed edition: |z 9783642160035 |
| 776 | 0 | 8 | |i Printed edition: |z 9783642160059 |
| 830 | 0 | |a Lecture Notes in Computational Science and Engineering, |x 2197-7100 ; |v 77 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-642-16004-2 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||