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

Markus Holtz (Autor)

Buch | Hardcover

VIII, 192 Seiten

2010 | 2011
Springer Berlin (Verlag)
978-3-642-16003-5 (ISBN)

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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.

• 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

Erscheint lt. Verlag	25.10.2010
Reihe/Serie	Lecture Notes in Computational Science and Engineering
Zusatzinfo	VIII, 192 p. 32 illus.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	456 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Betriebswirtschaft / Management
Schlagworte	ANOVA decomposition • Computational Finance • effective dimension • Numerical Integration • Quantitative Finance • sparse grids
ISBN-10	3-642-16003-4 / 3642160034
ISBN-13	978-3-642-16003-5 / 9783642160035
Zustand	Neuware