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Handbook of Numerical Analysis
In this chapter, we present an overview of the recent developments of vector quantization and functional quantization and their applications as a numerical method in finance, with an emphasis on the quadratic case. Quantization is a way to approximate a random vector or a stochastic process, viewed as a Hilbert-valued random variable, using a nearest neighbor projection on a finite codebook. We make a review of cubature formulas to approximate expectation, an conditional expectation, includingdoi:10.1016/s1570-8659(08)00015-x fatcat:dgtn7yqrabejzlmebjxuu4nbru