By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying "LDRE Toolbox" of Matalb functions guide a researcher with almost no experience in...

Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein-Uhlenbeck...

We derive the Green's function for the Black-Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be...

The temporal truncation error (TTE) associated with a noniterative operator split (OS) method for application to a system of m coupled transport partial differential equations (pdes) is analysed. The system incorporates arbitrary n-dimensional linear transport and arbitrary nonequilibrium...

The analysis of securities is an essential element of investment. It is a complex and, very frequently, long-lasting process. Depending on the assumed time perspective of an investment, the analysis may be carried out on the basis of appropriate tools within technical or fundamental analysis....

Stability properties of Runge–Kutta methods for the linear neutral delay-integro-differential-algebraic system are considered. It is proved that every A-stable natural Runge–Kutta method preserves the delay-independent stability of the exact solution. Some numerical experiments are given.

We consider a real business cycle model with a productive externality and an aggregate non- convex technology set µa la Benhabib and Farmer embodying capacity utilization, which exhibits indeterminacy of the steady state and multiplicity of deterministic equilibria under plausible values of the...