Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions
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Publication:5256567
DOI10.1007/978-3-319-08159-5_16zbMath1314.91239OpenAlexW2175699528MaRDI QIDQ5256567
Andreas Rupp, Karsten Urban, Rüdiger Kiesel
Publication date: 18 June 2015
Published in: Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-08159-5_16
portfolioMarkov chainadaptive multiwavelet methodcoupled system of parabolic PDEsHierarchical Tucker Format
Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Numerical methods for wavelets (65T60) Portfolio theory (91G10)
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