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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, e-bok

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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

Nyckelord: Mathematics, Computational Mathematics and Numerical Analysis, Quantitative Finance

Författare
Utgivare
Springer
Utgivningsår
2011
Språk
en
Utgåva
1
Serie
Lecture Notes in Computational Science and Engineering
Kategori
Naturvetenskaper
Format
E-bok
eISBN (PDF)
9783642160042

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