Author : Mario J. Miranda
Publisher : MIT Press
Page : 532 pages
File Size : 44,18 MB
Release : 2002
Category : Business & Economics
ISBN : 9780262633093
An introduction to the use of computational methods to solve problems in economics and finance.
Author : Mario J. Miranda
Publisher : MIT Press
Page : 529 pages
File Size : 39,72 MB
Release : 2004-08-20
Category : Business & Economics
ISBN : 0262291754
This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations, and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.
Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
Page : 791 pages
File Size : 43,64 MB
Release : 2011-10-25
Category : Business & Economics
ISBN : 3642172547
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Author : Oscar Afonso
Publisher : Routledge
Page : 325 pages
File Size : 25,88 MB
Release : 2015-08-27
Category : Business & Economics
ISBN : 1317508653
Computational Economics: A concise introduction is a comprehensive textbook designed to help students move from the traditional and comparative static analysis of economic models, to a modern and dynamic computational study. The ability to equate an economic problem, to formulate it into a mathematical model and to solve it computationally is becoming a crucial and distinctive competence for most economists. This vital textbook is organized around static and dynamic models, covering both macro and microeconomic topics, exploring the numerical techniques required to solve those models. A key aim of the book is to enable students to develop the ability to modify the models themselves so that, using the MATLAB/Octave codes provided on the book and on the website, students can demonstrate a complete understanding of computational methods. This textbook is innovative, easy to read and highly focused, providing students of economics with the skills needed to understand the essentials of using numerical methods to solve economic problems. It also provides more technical readers with an easy way to cope with economics through modelling and simulation. Later in the book, more elaborate economic models and advanced numerical methods are introduced which will prove valuable to those in more advanced study. This book is ideal for all students of economics, mathematics, computer science and engineering taking classes on Computational or Numerical Economics.
Author : Erricos John Kontoghiorghes
Publisher : Springer Science & Business Media
Page : 626 pages
File Size : 21,58 MB
Release : 2013-11-11
Category : Business & Economics
ISBN : 1475736134
Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.
Author : Wolfgang Karl Härdle
Publisher : Springer
Page : 369 pages
File Size : 44,16 MB
Release : 2017-08-02
Category : Business & Economics
ISBN : 3662544865
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
Author : Alexandrova-Kabadjova, Biliana
Publisher : IGI Global
Page : 459 pages
File Size : 24,96 MB
Release : 2012-08-31
Category : Business & Economics
ISBN : 1466620129
Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Author : Shu-Heng Chen
Publisher : IGI Global
Page : 339 pages
File Size : 18,51 MB
Release : 2006-01-01
Category : Business & Economics
ISBN : 1591406498
"This book identifies the economic as well as financial problems that may be solved efficiently with computational methods and explains why those problems should best be solved with computational methods"--Provided by publisher.
Author : Mario J. Miranda
Publisher :
Page : 528 pages
File Size : 29,42 MB
Release : 2004
Category : Economics
ISBN :
Author : Cars Hommes
Publisher : Elsevier
Page : 836 pages
File Size : 15,69 MB
Release : 2018-06-27
Category : Business & Economics
ISBN : 0444641327
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. - Helps readers fully understand the dynamic properties of realistically rendered economic systems - Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions - Provides broad assessments that can lead researchers to recognize new synergies and opportunities
