Handbook of Computational Economics Vol. 3
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| Main Author: | |
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| Other Authors: | |
| Format: | eBook |
| Language: | English |
| Published: |
[Erscheinungsort nicht ermittelbar], San Diego
North Holland [Imprint] Elsevier Science & Technology Books
2014, 2014
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| Series: | Handbook of Computational Economics Ser
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| Online Access: | |
| Collection: | Elsevier Handbooks in Economics - Collection details see MPG.ReNa |
| Summary: | Annotation 1.Introduction -- 2.Theoretical Challenges -- 3.Numerical Methods for Dynamic Programming -- 4.Tools from Numerical Analysis -- 5.Shape-Preserving Dynamic Programming -- 6.Parallelization -- 7.Dynamic Portfolio Optimization with Transaction Costs -- 8.Dynamic Stochastic Integration of Climate and Economy -- 9.Conclusions -- Acknowledgments -- References -- 9.Analysis of Numerical Errors / Manuel S. Santos -- 1.Introduction -- 2.Dynamic Stochastic Economies -- 3.Numerical Solution of Simple Markov Equilibria -- 4.Recursive Methods for Non-Optimal Economies -- 5.Numerical Experiments -- 6.Concluding Remarks -- References -- 10.GPU Computing in Economics / Eric M. Aldrich -- 1.Introduction -- 2.Basics of GPGPU Computing -- 3.A Simple GPGPU Example -- 4.Example: Value Function Iteration -- 5.Example: A General Equilibrium Asset Pricing Model with Heterogeneous Beliefs -- 6.The Road Ahead -- 7.Conclusion -- References -- 4.Models with Nontrivial Market Clearing -- 5.Approximate Aggregation -- 6.Simulation with a Continuum of Agents -- 7.Accuracy -- 8.Comparison -- 9.Other Types of Heterogeneity -- 10.Concluding Comments -- A.Explicit Aggregation and Perturbation Techniques -- Acknowledgments -- References -- 7.Numerical Methods for Large-Scale Dynamic Economic Models / Serguei Maliar -- 1.Introduction -- 2.Literature Review -- 3.The Chapter at a Glance -- 4.Nonproduct Approaches to Representing, Approximating, and Interpolating Functions -- 5.Approximation of Integrals -- 6.Derivative-Free Optimization Methods -- 7.Dynamic Programming Methods for High-Dimensional Problems -- 8.Precomputation Techniques -- 9.Local (Perturbation) Methods -- 10.Parallel Computation -- 11.Numerical Analysis of a High-Dimensional Model -- 12.Numerical Results for the Multicountry Model -- 13.Conclusion -- Acknowledgments -- References -- 8.Advances in Numerical Dynamic Programming and New Applications / Kenneth L. Judd -- "Handbook of Computational Economics" summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced todayFocuses on problems with few well-developed solutions in the literature of other disciplinesEmphasizes the potential for increasing the value of computational modeling in economics 11.Computing All Solutions to Polynomial Equations in Economics / Karl Schmedders -- 1.Introduction -- 2.Grobner Bases and Polynomial Equations -- 3.Applying Grobner Bases to Economic Models -- 4.All-Solution Homotopy Methods -- 5.Applying Homotopy Methods -- 6.Conclusion -- Acknowledgments -- References. 4.Computational Algorithm -- 5.Calibration to the US Economy -- 6.Policy Experiments -- 7.Concluding Remarks -- References -- 4.On Formulating and Solving Portfolio Decision and Asset Pricing Problems / Alex A. Himonas -- 1.Introduction -- 2.Discrete Time Portfolio Decision Making -- 3.Discrete Time Asset Pricing -- 4.Continuous Time Portfolio Decision Problem -- 5.Continuous Time Asset Pricing -- 6.Conclusion -- Acknowledgments -- References -- 5.Computational Methods for Derivatives with Early Exercise Features / Andrew Ziogas -- 1.General Introduction -- 2.The Problem Statement -- In the Case of Stochastic Volatility and Poisson Jump Dynamics -- 3.American Call Options Under Jump-Diffusion Processes -- 4.American Call Options under Jump-Diffusion and Stochastic Volatility Processes -- 5.Conclusion -- References -- 6.Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty / Pontus Rendahl -- 1.Introduction -- 2.Example Economy -- 3.Algorithms -- Overview -- Machine generated contents note: 1.Learning About Learning in Dynamic Economic Models / Marco P. Tucci -- 1.Introduction -- 2.The Framework -- 3.What We Have Learned -- 4.What We Hope to Learn -- 5.Algorithms and Codes -- 6.A Showcase on Active Learning -- 7.Learning with Forward Looking Variables -- 8.Other Applications of Active Learning -- 9.Summary -- References -- 2.On the Numerical Solution of Equilibria in Auction Models with Asymmetries within the Private-Values Paradigm / Harry J. Paarsch -- 1.Motivation and Introduction -- 2.Theoretical Model -- 3.Primer on Relevant Numerical Strategies -- 4.Previous Research Concerning Numerical Solutions -- 5.Some Examples -- 6.Comparisons of Relative Performance and Potential Improvements -- 7.Summary and Conclusions -- Acknowledgments -- References -- 3.Analyzing Fiscal Policies in a Heterogeneous-Agent Overlapping-Generations Economy / Kent Smetters -- 1.Introduction -- 2.Existing Literature -- 3.Stylized Model Economy -- |
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| Item Description: | Zielgruppe - Audience: Scholarly & Professional |
| Physical Description: | 688 pages |