Applied computational economics and finance / Mario J. Miranda and Paul L. Fackler.

Format:

Book

Author/Creator:

Miranda, Mario J.

Contributor:

Fackler, Paul L.

Language:

English

Subjects (All):

Economics--Data processing.

Economics.

Economics, Mathematical.

Finance--Data processing.

Finance.

Physical Description:

1 online resource (529 p.)

Edition:

1st ed.

Place of Publication:

Cambridge, Mass. : MIT Press, c2002.

Language Note:

English

Summary:

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.

Contents:

Intro

Contents

Preface

1 Introduction

2 Linear Equations and Computer Basics

3 Nonlinear Equations and Complementarity Problems

4 Finite-Dimensional Optimization

5 Numerical Integration and Differentiation

6 Function Approximation

7 Discrete Time, Discrete State Dynamic Models

8 Discrete Time, Continuous State Dynamic Models: Theory and Examples

9 Discrete Time, Continuous State Dynamic Models: Methods

10 Continuous Time Models: Theory and Examples

11 Continuous Time Models: Solution Methods

Appendix A: Mathematical Background

Appendix B: A MATLAB Primer

References

Index.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references (p. [493]-497) and index.

ISBN:

1-282-09988-4

9786612099885

0-262-27992-4

0-585-44828-0

OCLC:

52289330