Lecture Notes in Computational Science and Engineering

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

Authors: Holtz, Markus

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About this book

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.

About the authors

• Scientific employee at the Institute for Numerical Simulation at the University of Bonn (July 2004 - January 2009) • Involved in several teaching activities and research projects in the area of computational finance partly in close cooperation with financial institutions • Since January 2009 at head office of Baloise Group working on the introduction of stochastic models for life insurance portfolios

Table of contents (7 chapters)

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-642-16004-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-642-16003-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-642-26563-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance
Authors
Series Title
Lecture Notes in Computational Science and Engineering
Series Volume
77
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag GmbH Berlin Heidelberg
eBook ISBN
978-3-642-16004-2
DOI
10.1007/978-3-642-16004-2
Hardcover ISBN
978-3-642-16003-5
Softcover ISBN
978-3-642-26563-1
Series ISSN
1439-7358
Edition Number
1
Number of Pages
VIII, 192
Number of Illustrations and Tables
32 b/w illustrations
Topics