Volume 3. Handbook of Computational Economics

Contributors

Acknowledgments

Introduction to the Series

Introduction for Volume 3 of the Handbook of Computational Economics

Chapter 1. Learning About Learning in Dynamic Economic Models

Abstract

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

Chapter 2. On the Numerical Solution of Equilibria in Auction Models with Asymmetries within the Private-Values Paradigm

Abstract

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

Chapter 3. Analyzing Fiscal Policies in a Heterogeneous-Agent Overlapping-Generations Economy

Abstract

1 Introduction

2 Existing Literature

3 Stylized Model Economy

4 Computational Algorithm

5 Calibration to the US Economy

6 Policy Experiments

7 Concluding Remarks

References

Chapter 4. On Formulating and Solving Portfolio Decision and Asset Pricing Problems

Abstract

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

Chapter 5. Computational Methods for Derivatives with Early Exercise Features

Abstract

1 General Introduction

2 The Problem Statement—In the Case of Stochastic Volatility and Pois