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

Part of the book series: Lecture Notes in Computational Science and Engineering ((LNCSE,volume 77))

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Abstract

Financial institutions have to understand the risks that their financial instruments create as precisely as possible. To this end, mathematical models are developed which are usually based on tools from stochastic calculus. Most of the models are too complex to be analytically tractable and are hence analysed with the help of computer simulations which rely on efficient algorithms from scientific computing.

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Authors and Affiliations

  1. Universität Bonn, Institut für Numerische Simulation, Wegelerstr. 5, 53115, Bonn, Germany

    Markus Holtz

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  1. Markus Holtz
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Correspondence to Markus Holtz .

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Holtz, M. (2011). Introduction. In: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance. Lecture Notes in Computational Science and Engineering, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16004-2_1

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