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

By Markus Holtz

Book Overview

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. This title focuses on providing insights into the interplay between coordinate transformations, effective dimensions.

• Format: Hardcover
• Language: English
• ISBN: 3642160034
• ISBN13: 9783642160035
• Release Date: October 2010
• Publisher: Springer
• Length: 192 Pages
• Weight: 0.60 lbs.
• Dimensions: 0.6" x 6.4" x 9.3"