Holtz, Markus
Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Table of contents
1. Introduction
Markus Holtz
2. Dimension-wise Decompositions
Markus Holtz
3. Dimension-wise Quadrature
Markus Holtz
4. Sparse Grid Quadrature
Markus Holtz
5. Dimension Reduction and Smoothing
Markus Holtz
6. Validation and Applications
Markus Holtz
7. Summary and Conclusions
Markus Holtz
Keywords: Mathematics, Computational Mathematics and Numerical Analysis, Quantitative Finance
- Author(s)
- Holtz, Markus
- Publisher
- Springer
- Publication year
- 2011
- Language
- en
- Edition
- 1
- Series
- Lecture Notes in Computational Science and Engineering
- Page amount
- 8 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783642160042
