Introduction to computational economics using fortran / Hans Fehr, Fabian Kindermann.

Format:

Book

Author/Creator:

Fehr, Hans, author.

Kindermann, Fabian, 1984- author.

Contributor:

ProQuest ebook central.

John Lammey Stewart Memorial Library Fund.

Language:

English

Subjects (All):

Economics, Mathematical.

Econometrics.

FORTRAN 90 (Computer program language).

Physical Description:

1 online resource (xiii, 571 pages) : illustrations

Edition:

First edition.

Place of Publication:

Oxford, U.K. : Oxford University Pressm, 2018.

[Place of publication not identified] : [publisher not identified], [2018]

System Details:

text file

Contents:

Machine generated contents note: 1. Fortran 90: A simple programming language

1.1. About Fortran in general

1.1.1. The history of Fortran

1.1.2. Why Fortran?

1.1.3. The workings of high-level programming languages

1.1.4. Fortran compilers for Windows, Mac, and Linux

1.2. Imperative Fortran programs

1.2.1. The general structure of Fortran programs

1.2.2. The declaration of variables

1.2.3. The basics of imperative programming

1.2.4. Control flow statements

1.2.5. The concept of arrays

1.3. Subroutines and functions

1.4. Modules and global variables

1.4.1. Storing code in a module

1.4.2. The concept of global variables

1.5. Installing the toolbox

1.6. Plotting graphs with the toolbox and GNUPIot

1.6.1. Two-dimensional plotting

1.6.2. Three-dimensional plotting

1.7. Further reading

1.8. Exercises

2. Numerical solution methods

2.1. Matrices, vectors, and linear equation systems

2.1.1. Matrices and vectors in Fortran

Note continued: 2.1.2. Solving linear equation systems

2.2. Nonlinear equations and equation systems

2.2.1. Bisection search in one dimension

2.2.2. Newton & aposs method in one dimension

2.2.3. Fixed-point iteration methods

2.2.4. Multidimensional nonlinear equation systems

2.3. Function minimization

2.3.1. The Golden-Search method

2.3.2. Brent & aposs and Powell & aposs algorithms

2.3.3. The problem of local and global minima

2.4. Numerical integration

2.4.1. Summed Newton-Cotes methods

2.4.2. Gaussian quadrature

2.5. Random variables, distributions, and simulation

2.5.1. Random variables and their distribution

2.5.2. Simulating realizations of random variables

2.6. Function approximation and interpolation

2.6.1. Polynominal interpolation

2.6.2. Piecewise polynomial interpolation

2.6.3.A two-dimensional interpolation example

2.7. Linear programming

2.7.1. Graphical solution to linear programs in standard form

Note continued: 2.7.2. The simplex algorithm

2.8. Further reading

2.9. Exercises

3. The static general equilibrium model

3.1. The basic economy model

3.1.1. The command optimum

3.1.2. The market solution

3.1.3. Variable labour supply

3.1.4. Public sector and tax incidence analysis

3.2. Extensions of the basic model

3.2.1. Imperfect labour markets and unemployment policy

3.2.2. Intermediate goods in production

3.2.3. Open economies and international trade

3.3. Further reading

3.4. Exercises

4. Topics in finance and risk management

4.1. Mean-variance portfolio theory

4.1.1. Portfolio choice with risky assets

4.1.2. Introducing risk-free assets

4.1.3. Short-selling constraints

4.1.4. Monte Carlo minimization

4.2. Option pricing theory

4.2.1. The binomial approach by Cox-Ross-Rubinstein

4.2.2. The Black-Scholes formula

4.2.3. Numerical implementation of both approaches

4.2.4. Option pricing with Monte Carlo simulation

Note continued: 4.3. Managing credit risk with corporate bonds

4.3.1. Modelling credit risk with a single corporate bond

4.3.2. Credit risk in a bond portfolio

4.4. Mortality risk management

4.4.1. Modelling longevity risk

4.4.2. Pricing and risk analysis of insurance products

4.4.3. Optimization of a mortality portfolio

4.5. Appendix

4.6. Further reading

4.7. Exercises

5. The life-cycle model and intertemporal choice

5.1. Why do people save?

5.1.1. Optimal savings in a certain world

5.1.2. Uncertain labour income and precautionary savings

5.1.3. Uncertain capital and labour income

5.2. Where do people save and invest?

5.2.1. Uncertain capital income and portfolio choice

5.2.2. Uncertain lifespan and annuity choice

5.3. Further reading

5.4. Exercises

6. The overlapping generations model

6.1. General structure and long-run equilibrium

6.1.1. Demographics, behaviour and markets

6.1.2.Computation of the long-run equilibrium

Note continued: 6.1.3. Long-run analysis of policy reforms

6.2. Transitional dynamics and welfare analysis

6.2.1.Computation of transitional dynamics

6.2.2. Generational welfare and aggregate efficiency

6.2.3.Comprehensive analysis of policy reforms

6.3. Further reading

6.4. Exercises

7. Extending the OLG model

7.1. Accounting for variable labour supply

7.1.1. The household decision problem

7.1.2. Functional forms and numerical implementation

7.1.3. Simulation results and economic interpretations

7.1.4.A note on labour-augmenting technological progress

7.2. Human capital and the growth process

7.2.1. Education investment and externalities

7.2.2. Numerical implementation and simulation

7.2.3. Human-capital spillovers and endogenous growth

7.2.4. Numerical implementation and simulation

7.3. Longevity risk and annuitization

7.3.1. The households & apos problem without annuity markets

7.3.2. Numerical implementation and simulation

Note continued: 7.3.3. Introducing private annuity markets

7.4. Further reading

7.5. Exercises

8. Introduction to dynamic programming

8.1. Motivation: The cake-eating problem

8.1.1. The all-in-one solution

8.1.2. The dynamic programming approach

8.1.3. An analytical solution

8.2. Numerical solution by value function iteration

8.2.1. Grid search

8.2.2. Optimization and interpolation

8.3. Numerical solution by policy function iteration

8.3.1. Root-finding and interpolation

8.3.2. The method of endogenous gridpoints

8.4. Further reading

8.5. Exercises

9. Dynamic macro I: Infinite horizon models

9.1. The basic neoclassical growth model

9.1.1. The model economy

9.1.2. Numerical implementation

9.1.3.A model with a public sector

9.2. The stochastic growth model

9.2.1. Modelling aggregate uncertainty

9.2.2.A numerical implementation using discretized shocks

9.2.3. Simulating time paths

Note continued: 9.2.4. Speeding up the computational process

9.3. The real business-cycle model

9.3.1.A dynamic program with endogenous labour supply

9.3.2. Numerical implementation with policy function iteration

9.3.3.Comparing model results to the data

9.3.4. The welfare costs of business-cycle fluctuations

9.3.5. Procyclical vs. constant government expenditure

9.4. The heterogeneous agent model

9.4.1. The basic setup

9.4.2. Solving for market-clearing prices

9.4.3. Determining household policy functions

9.4.4. Aggregation of individual decisions

9.4.5. Model parametrization and simulation

9.4.6. The optimum quantity of debt

9.5. Further reading

9.6. Exercises

10. Life-cycle choices and risk

10.1. Labour supply, savings, and risky earnings

10.1.1. The baseline model

10.1.2. The role of variable labour supply

10.1.3. Female labour-force participation

10.2. Portfolio choice and retirement savings

Note continued: 10.2.1.A model with stocks and bonds

10.2.2. The choice to buy annuities

10.2.3. Retirement savings in tax-favoured savings vehicles

10.3. Further reading

10.4. Exercises

11. Dynamic macro II: The stochastic OLG model

11.1. General structure and long-run equilibrium

11.1.1. Demographics, behaviour, and markets

11.1.2. Numerical implementation of steady-state equilibrium

11.1.3. Model parametrization and calibration

11.1.4. The initial equilibrium

11.1.5. Long-run analysis of policy reforms

11.2. Transitional dynamics and welfare analysis

11.2.1.Computation of transitional dynamics

11.2.2. Generational welfare and aggregate efficiency

11.3.Comprehensive analysis of policy reforms

11.3.1. The optimal size of the pension system

11.3.2. The optimal progressivity of the labour-income tax

11.3.3. Should capital income be taxed?

11.4. Further reading

11.5. Exercises.

Notes:

Includes bibliographical references (pages 561-566) and index.

Electronic reproduction. Ann Arbor, MI Available via World Wide Web.

Description based on print version record.

Local Notes:

Acquired for the Penn Libraries with assistance from the John Lammey Stewart Memorial Library Fund.

ISBN:

9780192526571

019252657X

Publisher Number:

99984974615

Access Restriction:

Restricted for use by site license.