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
Avainsanat: Mathematics, Computational Mathematics and Numerical Analysis, Quantitative Finance
- Tekijä(t)
- Holtz, Markus
- Julkaisija
- Springer
- Julkaisuvuosi
- 2011
- Kieli
- en
- Painos
- 1
- Sarja
- Lecture Notes in Computational Science and Engineering
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783642160042
