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

Authors:

ISBN: 978-3-642-16003-5 (Print) 978-3-642-16004-2 (Online)

Table of contents (7 chapters)

  1. Front Matter

    Pages i-viii

  2. No Access

    Chapter

    Pages 1-9

    Introduction

  3. No Access

    Chapter

    Pages 11-27

    Dimension-wise Decompositions

  4. No Access

    Chapter

    Pages 29-50

    Dimension-wise Quadrature

  5. No Access

    Chapter

    Pages 51-76

    Sparse Grid Quadrature

  6. No Access

    Chapter

    Pages 77-100

    Dimension Reduction and Smoothing

  7. No Access

    Chapter

    Pages 101-151

    Validation and Applications

  8. No Access

    Chapter

    Pages 153-156

    Summary and Conclusions

  9. Back Matter

    Pages 157-189