In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one–dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier...

Linear dynamic equilibrium correction mechanisms are shown to follow from the discretisation of continuous economic processes with steady-state solutions. In addition, the proposed procedure provides testable restrictions on the coefficients of the dynamic econometric model.

Linear dynamic equilibrium correction mechanisms are shown to follow from the discretisation of continuous economic processes with steady-state solutions. In addition, the proposed procedure on the coefficients of the dynamic econometric model.