The problem of periodic flow of an incompressible fluid through a pipe, which is driven by an oscillating pressure gradient (. a reciprocating piston), is investigated in the case of a large Reynolds number. This process is described by a singularly perturbed parabolic equation with a periodic...

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....

This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...

We survey numerical methods that are tractable in dynamic economic models with a finite, large number of continuous state variables. (Examples of such models are new Keynesian models, life-cycle models, heterogeneous-agents models, asset-pricing models, multisector models, multicountry models,...

In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

The efficiency of computational methods and the choice of the most efficient methods for solving a specific problem or a specific class of problems have always played an important role in numerical analysis. Optimization of the computerized solution process is now a major problem of applied...

Chapter 1. Analytics background and architectures -- chapter 2. Mathematical and statistical preliminaries -- chapter 3. Statistics for descriptive analytics -- chapter 4. Bayesian probability and inference -- chapter 5. Inferential statistics and predictive analytics -- chapter 6. Artificial...

The seminal work of Mandelbrot and Fama, carried out in the sixties, suggested the class of alpha-stable laws as a probabilistic model of financial assets returns. Stable distributions possess several properties which make plausible their application in the field of finance - heavy tails, excess...

We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively...