Published 2014
Table of Contents:
“...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. ...
”
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