In this paper we consider various computational methods for pricing American style derivatives. We do so under both jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator-splitting, and the Crank-Nicolson scheme, the latter being...

This chapter discusses computational methods for approximating portfolio and asset pricing problems. Formulation of these problems is usually specified along with components, preferences, payoffs, etc., that are analytic functions. This implies that the solutions to these problems acquire this...

The overlapping generations (OLG) life-cycle model with heterogeneous agents has become the main workhorse for evaluating the welfare and macroeconomic effects of major fiscal policy changes, including reforms to tax and social insurance systems. This chapter shows how to construct and solve a...

We describe and compare numerical methods used to approximate equilibrium bid functions in models of auctions as games of incomplete information. In such games, private values are modeled as draws from bidder-specific type distributions and pay-your-bid rules are used to determine transactions...