Sparse grid quadrature in high dimensions with applications in finance and insurance
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Publication:608138
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Cited in
(45)- Sparse collocation method for global sensitivity analysis and calculation of statistics of solutions in SPDEs
- A weighted POD method for elliptic PDEs with random inputs
- Approximation of high-dimensional periodic functions with Fourier-based methods
- Learning multivariate functions with low-dimensional structures using polynomial bases
- Variable transformations in combination with wavelets and ANOVA for high-dimensional approximation
- ANOVA approximation with mixed tensor product basis on scattered points
- Adaptive-sparse polynomial dimensional decomposition methods for high-dimensional stochastic computing
- Measure transformation and efficient quadrature in reduced-dimensional stochastic modeling of coupled problems
- A sparse grid approach to balance sheet risk measurement
- A robust numerical method for the random interface grating problem via shape calculus, weak Galerkin method, and low-rank approximation
- A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Fast hyperbolic wavelet regression meets ANOVA
- Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
- Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
- Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on \(\mathbb{R}^d\)
- Dimension-adaptive tensor-product quadrature
- High-dimensional dynamic stochastic model representation
- Grouped transformations and regularization in high-dimensional explainable ANOVA approximation
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- Sparse harmonic transforms. II: Best \(s\)-term approximation guarantees for bounded orthonormal product bases in sublinear-time
- A low-rank approach to the computation of path integrals
- Non-intrusive Uncertainty Propagation with Error Bounds for Conservation Laws Containing Discontinuities
- On generation and enumeration of orthogonal Chebyshev-Frolov lattices
- A Hyperspherical Adaptive Sparse-Grid Method for High-Dimensional Discontinuity Detection
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- Stochastic model order reduction in randomly parametered linear dynamical systems
- Interpretable approximation of high-dimensional data
- The deep parametric PDE method and applications to option pricing
- Anchored ANOVA Petrov-Galerkin projection schemes for parabolic stochastic partial differential equations
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- The sparse structure of high-dimensional integrands
- Symmetry exploits for Bayesian cubature methods
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- Fully Symmetric Kernel Quadrature
- Comparison of Sobol' sequences in financial applications
- Reduced chaos expansions with random coefficients in reduced-dimensional stochastic modeling of coupled problems
- Sparse mixture models inspired by ANOVA decompositions
- Smoothing the payoff for efficient computation of Basket option prices
- Hyperspherical sparse approximation techniques for high-dimensional discontinuity detection
- Multi-level Monte Carlo weak Galerkin method for elliptic equations with stochastic jump coefficients
- Dimension reduction in stochastic modeling of coupled problems
- Sequential Stochastic Response Surface Method Using Moving Least Squares-Based Sparse Grid Scheme for Efficient Reliability Analysis
- A hybrid anchored-ANOVA - POD/Kriging method for uncertainty quantification in unsteady high-fidelity CFD simulations
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