Search Results - subject:"Numerical Methods"

Efficient Pricing of Derivatives on Assets with Discrete Dividends

Vellekoop, M. H.; Nieuwenhuis, J. W. - In: Applied Mathematical Finance 13 (2006) 3, pp. 265-284

It is argued that due to inconsistencies in existing methods to approximate the prices of equity options on assets which pay out fixed cash dividends at future dates, a new approach to this problem may be useful. Logically consistent methods which are guaranteed to exclude arbitrage exist, but...

Persistent link: https://www.econbiz.de/10005462513

NUMERICAL METHODS FOR DIFFERENTIAL GAMES BASED ON PARTIAL DIFFERENTIAL EQUATIONS

FALCONE, M. - In: International Game Theory Review (IGTR) 08 (2006) 02, pp. 231-272

In this paper we present some numerical methods for the solution of two-persons zero-sum deterministic differential …

Persistent link: https://www.econbiz.de/10005047572

Markov-Perfect Optimal Taxation

Ortigueira, Salvador - In: Review of Economic Dynamics 9 (2006) 1, pp. 153-178

In this paper we study optimal taxation in a dynamic game played by a sequence of governments and a private sector composed of a continuum of households. We focus on the Markov-perfect equilibrium of this game under two different assumptions on the extent of government's intra-period commitment,...

Persistent link: https://www.econbiz.de/10005069643

Approximate Solutions to Dynamic Models - Linear Methods

Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

point for understanding more elaborate numerical methods. It shall be described here first for the example of a simple real … supported by the Deutsche Forschungsgemeinschaft through the SFB 649, "Economic Risk". Keywords: numerical methods, linear … provide a useful starting point for understanding more elaborate numerical methods. It shall be described here first for the …

Persistent link: https://www.econbiz.de/10005652725

Applying Markowitz's Critical Line Algorithm

Niedermayer, Andras; Niedermayer, Daniel - Department Volkswirtschaftlehre, Universität Bern - 2006

We provide a Matlab quadratic optimization tool based on Markowitz's citical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...

Persistent link: https://www.econbiz.de/10005730958

Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model

Zagaglia, Paolo; Marzo, Massimiliano; Strid, Ingvar - Society for Computational Economics - SCE - 2006

We study the role of nonlinear simple rules for monetary policy. We depart from the standard rules proposed by Taylor (1993), and consider a nonlinear rule for the so-called opportunistic approach to disinflation originally proposed by Orphanides and Wilcox (2002) and Aksoy, Orphanides, Small,...

Persistent link: https://www.econbiz.de/10005706185

Using genetic algorithms to improve the term structure of interest rates fitting

Gimeno, Ricardo; Nave, Juan M. - Society for Computational Economics - SCE - 2006

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

Persistent link: https://www.econbiz.de/10005132622

Molecular Dynamics as a tool to interpret macroscopic amorphization-induced swelling in silicon carbide

Ribeiro, F.; Castelier, E.; Bertolus, M.; Defranceschi, M. - In: The European Physical Journal B - Condensed Matter and … 52 (2006) 2, pp. 163-170

We present here an investigation of the irradiation-induced swelling of SiC using Classical Molecular Dynamics simulations. Heavy ion irradiation has been assumed to affect the material in two steps: (a) creation of local atomic disorder, modeled by the introduction of extended amorphous areas...

Persistent link: https://www.econbiz.de/10009282022

General Equilibrium Models - Numerical Method and Stability

Lappeteläinen, Antti - Valtion taloudellinen tutkimuskeskus (VATT), Government … - 1995

numerical methods. Also methods of analysing stability properties are presented and executed. At the end of the study several …

Persistent link: https://www.econbiz.de/10005731985

Teaching Computational Economics in an Applied Economics Program

Miranda, Mario - In: Computational Economics 25 (2005) 3, pp. 229-254

Effective teaching of computational methods to economists in an introductory graduate-level course requires difficult choices regarding the material to be covered, the level at which the material will be covered, and the role of assigned exercises, laboratory sessions, and required readings. In...

Persistent link: https://www.econbiz.de/10005542263