When looking at a time series, it is often instructive to consider the data as observations sampled from a noisy version of some underlying data generating process. This data generating process may be considered to be a function from a function space. We can specify very simple functions, known...

Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run boundary values or steady-state "endpoints"--fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by...

Although the mathematical foundations of common-value auctions have been well understood since Milgrom and Weber (1982), equilibrium bidding strategies are computationally complex. Very few calculated examples can be found in the literature, and only for highly specialized cases. This paper...

In the last few years new attention has been paid to the problem of nonconvexities in the cost-to-go function in adaptive control models. Using analytical methods, it can be found that nonconvexities are caused by the probing component of the total cost-to-go (Mizrach, 1991) or by the cautionary...

The paper discusses an approach to comparative statics in the large by making use of a homotopy continuation method. This is based on the path-following approach presented by the author which is in turn due to the fixed-point algorithm explored by Garcia and Zangwill. We investigate from a...

This paper analyzes the technique of comparative dynamics (Judd, 1982) for the computation of the impact of perturbations on a steady state in a perfect-foresight model. The accuracy of this technique is demonstrated by numerical simulation experiments. Moreover, the technique is generalized to...

This paper studies the economic incentives and the institutional issues governing the outcomes of a short-term climate change policy package guided by the United Nations' Framework Convention on Climate Change and the Berlin Mandate initiatives. Game theoretic tools and the global...

This paper is concerned with the numerical solution of the American option valuation problem formulated as a parabolic free boundary/initial value model. We introduce and analyze a front-tracking finite difference method and compare it with other commonly used techniques. The numerical...

In this paper we review some applications of the path integral methodology of quantum mechanics to financial modeling and options pricing. A path integral is defined as a limit of the sequence of finite-dimensional integrals, in much the same way as the Riemannian integral is defined as a limit...

A new wavelet-based estimator is introduced which combines the state-space model with the wavelet transform in an effort to explore the stock market inefficiency. The new estimator possesses some superior qualities that are illustrated through its actual performance in forecasting the S&P 500....