By Markus Holtz

This booklet bargains with the numerical research and effective numerical therapy of high-dimensional integrals utilizing sparse grids and different dimension-wise integration thoughts with functions to finance and assurance. The e-book specializes in supplying insights into the interaction among coordinate adjustments, powerful dimensions and the convergence behaviour of sparse grid tools. The strategies, derivations and algorithms are illustrated via many examples, figures and code segments. Numerical experiments with purposes from finance and assurance express that the methods awarded during this ebook might be swifter and extra actual than (quasi-) Monte Carlo equipment, even for integrands with thousands of dimensions.

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