Handbook of Computational Economics Vol. 3

Annotation

Bibliographic Details
Corporate Author:	ScienceDirect (Online service)
Other Authors:	Schmedders, Karl (Editor), Judd, Kenneth L. (Editor)
Format:	eBook
Language:	English
Published:	San Diego : North Holland [Imprint] Elsevier Science & Technology Books. Jan. 2014
Series:	Handbook of Computational Economics Ser. ; 3.
Subjects:	Economics, Mathematical. Econometrics. Equilibrium (Economics) Computer simulation. Computer Simulation Economics > Data Processing. Business & Economics > Economics > General. Économétrie. Simulation par ordinateur. simulation. Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

Machine generated contents note: 1.Learning About Learning in Dynamic Economic Models / Marco P. Tucci
1.Introduction
2.The Framework
3.What We Have Learned
4.What We Hope to Learn
5.Algorithms and Codes
6.A Showcase on Active Learning
7.Learning with Forward Looking Variables
8.Other Applications of Active Learning
9.Summary
References
2.On the Numerical Solution of Equilibria in Auction Models with Asymmetries within the Private-Values Paradigm / Harry J. Paarsch
1.Motivation and Introduction
2.Theoretical Model
3.Primer on Relevant Numerical Strategies
4.Previous Research Concerning Numerical Solutions
5.Some Examples
6.Comparisons of Relative Performance and Potential Improvements
7.Summary and Conclusions
Acknowledgments
References
3.Analyzing Fiscal Policies in a Heterogeneous-Agent Overlapping-Generations Economy / Kent Smetters
1.Introduction
2.Existing Literature
3.Stylized Model Economy
4.Computational Algorithm
5.Calibration to the US Economy
6.Policy Experiments
7.Concluding Remarks
References
4.On Formulating and Solving Portfolio Decision and Asset Pricing Problems / Alex A. Himonas
1.Introduction
2.Discrete Time Portfolio Decision Making
3.Discrete Time Asset Pricing
4.Continuous Time Portfolio Decision Problem
5.Continuous Time Asset Pricing
6.Conclusion
Acknowledgments
References
5.Computational Methods for Derivatives with Early Exercise Features / Andrew Ziogas
1.General Introduction
2.The Problem Statement
In the Case of Stochastic Volatility and Poisson Jump Dynamics
3.American Call Options Under Jump-Diffusion Processes
4.American Call Options under Jump-Diffusion and Stochastic Volatility Processes
5.Conclusion
References
6.Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty / Pontus Rendahl
1.Introduction
2.Example Economy
3.Algorithms
Overview
4.Models with Nontrivial Market Clearing
5.Approximate Aggregation
6.Simulation with a Continuum of Agents
7.Accuracy
8.Comparison
9.Other Types of Heterogeneity
10.Concluding Comments
A.Explicit Aggregation and Perturbation Techniques
Acknowledgments
References
7.Numerical Methods for Large-Scale Dynamic Economic Models / Serguei Maliar
1.Introduction
2.Literature Review
3.The Chapter at a Glance
4.Nonproduct Approaches to Representing, Approximating, and Interpolating Functions
5.Approximation of Integrals
6.Derivative-Free Optimization Methods
7.Dynamic Programming Methods for High-Dimensional Problems
8.Precomputation Techniques
9.Local (Perturbation) Methods
10.Parallel Computation
11.Numerical Analysis of a High-Dimensional Model
12.Numerical Results for the Multicountry Model
13.Conclusion
Acknowledgments
References
8.Advances in Numerical Dynamic Programming and New Applications / Kenneth L. Judd
1.Introduction
2.Theoretical Challenges
3.Numerical Methods for Dynamic Programming
4.Tools from Numerical Analysis
5.Shape-Preserving Dynamic Programming
6.Parallelization
7.Dynamic Portfolio Optimization with Transaction Costs
8.Dynamic Stochastic Integration of Climate and Economy
9.Conclusions
Acknowledgments
References
9.Analysis of Numerical Errors / Manuel S. Santos
1.Introduction
2.Dynamic Stochastic Economies
3.Numerical Solution of Simple Markov Equilibria
4.Recursive Methods for Non-Optimal Economies
5.Numerical Experiments
6.Concluding Remarks
References
10.GPU Computing in Economics / Eric M. Aldrich
1.Introduction
2.Basics of GPGPU Computing
3.A Simple GPGPU Example
4.Example: Value Function Iteration
5.Example: A General Equilibrium Asset Pricing Model with Heterogeneous Beliefs
6.The Road Ahead
7.Conclusion
References
11.Computing All Solutions to Polynomial Equations in Economics / Karl Schmedders
1.Introduction
2.Grobner Bases and Polynomial Equations
3.Applying Grobner Bases to Economic Models
4.All-Solution Homotopy Methods
5.Applying Homotopy Methods
6.Conclusion
Acknowledgments
References.