In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...

This article presents an algorithm that extends Ljungqvist and Sargent's (2012) dynamic Stackelberg game to the case of dynamic stochastic general equilibrium models including forcing variables. Its first step is the solution of the discounted augmented linear quadratic regulator as in Hansen...