Sparse grid quadrature in high dimensions with applications in finance and insurance

DOI10.1007/978-3-642-16004-2zbMath1221.65080MaRDI QIDQ608138

Markus Holtz

Publication date: 25 November 2010

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-16004-2

zbMATH Keywords

monograph; error bounds; insurance; mathematical finance; analysis of variance; sparse grid quadrature; dimension-wise decomposition; dimension-wise quadrature; Gaussian weight function; numerical high-dimensional integration

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65-02: Research exposition (monographs, survey articles) pertaining to numerical analysis

41A63: Multidimensional problems

41A55: Approximate quadratures

65D32: Numerical quadrature and cubature formulas

Uses Software

• nwSpGr
• PATSYM
• HRMSYM