Sparse grid quadrature in high dimensions with applications in finance and insurance
This book 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. The book focuses on providing insights into the interplay between coordinate tran...
Enregistré dans:
| Auteur principal: | |
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| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Édition: | 1st ed. 2011. |
| Collection: | Lecture Notes in Computational Science and Engineering
77 |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 22 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance, Texte imprimé, 9783642160035 • Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance, Texte imprimé, 9783642265631 • Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance, Texte imprimé, 9783642160035 • Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance, Texte imprimé, 9783642160059 |
| Résumé: | This book 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. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions |
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| Description: | Description d'après consultation du 22 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliographie: | Bibliogr. Index |
| ISBN: | 9783642160042 |
| ISSN: | 2197-7100 |
| Accès: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |