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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...
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| Lenguaje: | eng |
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Springer
2011
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-642-16004-2 http://cds.cern.ch/record/1412726 |