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Holtz, Markus

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

Holtz, Markus - Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance, ebook

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Ebook, PDF with Adobe DRM
ISBN: 9783642160042
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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)
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Series
Lecture Notes in Computational Science and Engineering
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642160042

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