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 ...
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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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Add this copy of Sparse Grid Quadrature in High Dimensions with to cart. $51.65, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2012 by Springer-Verlag Berlin and Heidelberg GmbH & Co. K.
Edition:
2012, Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publisher:
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Published:
2012
Language:
English
Alibris ID:
11555623246
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New. Print on demand Contains: Illustrations, black & white. Lecture Notes in Computational Science and Engineering . VIII, 192 p. 32 illus. Intended for professional and scholarly audience.
Add this copy of Sparse Grid Quadrature in High Dimensions with to cart. $51.65, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2010 by Springer.
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New. Print on demand Sewn binding. Cloth over boards. 192 p. Contains: Unspecified, Illustrations, black & white. Lecture Notes in Computational Science and Engineering, 77.
Add this copy of Sparse Grid Quadrature in High Dimensions With to cart. $119.74, new condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Santa Clarita, CA, UNITED STATES, published 2010 by Springer.
