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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance pp 101–151Cite as

Validation and Applications

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

Abstract

In this chapter, we present various numerical experiments with different applications from finance. We study the performance of the different numerical quadrature methods from Chapter 3 and Chapter 4 and investigate the impact of the different approaches for dimension reduction and smoothing from Chapter 5. Parts of this chapter are taken from [58].

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  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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Holtz, M. (2011). Validation and Applications. 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_6

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