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Year of publication
Subject
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Monte Carlo simulation 6 Stochastic process 6 Stochastischer Prozess 6 Monte-Carlo-Simulation 4 sparse grid 4 Estimation theory 3 New Keynesian DSGE model 3 Option pricing theory 3 Optionspreistheorie 3 Schätztheorie 3 Smolyak method 3 competitive equilibrium 3 parallel computing 3 real business cycle model 3 sparse grid approximation 3 Adaptive domain 2 Anisotropic grid 2 Approximation method 2 DSGE model 2 DSGE-Modell 2 Dynamic equilibrium 2 Dynamic programming 2 Dynamische Optimierung 2 Dynamisches Gleichgewicht 2 High-dimensional problem 2 Iteratives Verfahren 2 Markov chain 2 Markov-Kette 2 Neoclassical synthesis 2 Neoklassische Synthese 2 Nichtlineare Regression 2 Nonlinear regression 2 Projection 2 Real business cycle model 2 Real-Business-Cycle-Theorie 2 Simulation 2 Sparse Grid Integration 2 Sparse grid 2 Theorie 2 Theory 2
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Online availability
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Free 8 Undetermined 7
Type of publication
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Article 10 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
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Language
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English 11 Undetermined 4 German 1
Author
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Judd, Kenneth L. 5 Cai, Yongyang 3 Maliar, Lilia 3 Maliar, Serguei 3 Steinbuks, Jevgenijs 3 Valero, Rafael 3 Bayer, Christian 2 Ben Hammouda, Chiheb 2 Chiarella, Carl 2 Kang, Boda 2 Bansal, Prateek 1 Beccacece, Francesca 1 Beyna, Ingo 1 Borgonovo, Emanuele 1 Buzzard, Greg 1 Cillo, Alessandra 1 Daziano, Ricardo A. 1 Ding, Liang 1 Esen, Halil Erturk 1 Guevara, Angelo 1 Judd, Kenneth 1 Keshavarzzadeh, Vahid 1 L. Judd, Kenneth 1 Li, Shanjun 1 Papapantoleon, Antonis 1 Reisinger, Christoph 1 Samet, Michael 1 Skrainka, Ben 1 Tempone, Raul 1 Tempone, Raúl 1 Zhang, Xiaowei 1 Zionts, Stanley 1
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Institution
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Finance Discipline Group, Business School 2 Instituto Valenciano de Investigaciones Económicas (IVIE) 1
Published in...
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Quantitative economics : QE ; journal of the Econometric Society 2 Research Paper Series / Finance Discipline Group, Business School 2 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Journal of mathematical finance 1 Operations research 1 Quantitative Economics 1 Quantitative finance 1 The econometrics journal 1 The journal of computational finance : JFC 1 Working Papers. Serie AD 1 Working papers / Innocenzo Gasparini Institute for Economic Research 1 cemmap working paper 1
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Source
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ECONIS (ZBW) 10 RePEc 4 EconStor 2
Showing 11 - 16 of 16
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High performance quadrature rules: How numerical integration affects a popular model of product differentiation
L. Judd, Kenneth; Skrainka, Ben - 2011
of several state of the art solvers when computing point estimates. Both monomial rules and sparse grid methods lack …
Persistent link: https://www.econbiz.de/10010288360
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Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
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The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2009
formulated as the solution to a two-pass free boundary PDE problem. A modified sparse grid approach is implemented to solve the …
Persistent link: https://www.econbiz.de/10004984506
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Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Journal of Economic Dynamics and Control 44 (2014) C, pp. 92-123
We show how to enhance the performance of a Smolyak method for solving dynamic economic models. First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak...
Persistent link: https://www.econbiz.de/10010785273
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Smolyak method for solving dynamic economic models : lagrange interpolation, anisotropic grid and adaptive domain
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 44 (2014), pp. 92-123
Persistent link: https://www.econbiz.de/10010470074
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Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
Reisinger, Christoph - 2004
Persistent link: https://www.econbiz.de/10002734206
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