We use dynamic programming, finite elements, and parallel computing to design and evaluate two-dimensional financial derivatives. Our dynamic program is flexible, as it divides the evaluation process into two components: one related to the dynamics of the underlying process and the other to the...

In this study, we use the dynamic programming method introduced by Mirică (2004) to solve the well-known war game of attrition and attack as formulated by Isaacs (1965). By using this modern approach, we extend the classical framework to explore optimal strategies within the differential game...

The computational time required to solve and estimate dynamic economic models is one of the main constraints in empirical research. The Endogenous Grid Method (EGM) proposed by Carroll (2006) is known to offer impressive speed gains over more traditional stochastic dynamic programming methods,...