Handbook of Computational Economics, Volume 3
1st Edition
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Table of Contents
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 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
Chapter 6. Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty
Abstract
1 Introduction
2 Example Economy
3 Algorithms—Overview
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
Acknowledgments
References
Chapter 7. Numerical Methods for Large-Scale Dynamic Economic Models
Abstract
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
Chapter 8. Advances in Numerical Dynamic Programming and New Applications
Abstract
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
Chapter 9. Analysis of Numerical Errors
Abstract
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
Chapter 10. GPU Computing in Economics
Abstract
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
Chapter 11. Computing All Solutions to Polynomial Equations in Economics
Abstract
1 Introduction
2 Gröbner Bases and Polynomial Equations
3 Applying Gröbner Bases to Economic Models
4 All-Solution Homotopy Methods
5 Applying Homotopy Methods
6 Conclusion
Acknowledgments
References
Index
Description
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.
Key Features
- Samples different styles and approaches, reflecting the breadth of computational economics as practiced today
- Focuses on problems with few well-developed solutions in the literature of other disciplines
- Emphasizes the potential for increasing the value of computational modeling in economics
Readership
Upper-division undergraduates, graduate students, and professionals worldwide working on economic analyses.
Details
- No. of pages:
- 688
- Language:
- English
- Copyright:
- © North Holland 2014
- Published:
- 13th December 2013
- Imprint:
- North Holland
- Hardcover ISBN:
- 9780444529800
- eBook ISBN:
- 9780080931784
Reviews
"...indispensable reference works which belong in every professional collection, and form ideal supplementary reading for graduate economics students on advanced courses."--Zentralblatt MATH, Sep-14
"In this volume the best experts show the breadth and depth of the state of the art of computational tools ready to accurately compute solutions and equilibria with a wide range of applications and models in macroeconomics and finance." --Cars Hommes, University of Amsterdam
"Volume 3 of the Handbook of Computational Economics, which reviews the development of computational algorithms yielding approximate equilibrium solutions for analytically modeled dynamic economic systems, provides a useful complement to Volume 2, which introduced agent-based computational economic (ACE) modeling tools for the computational study of economic processes as open-ended dynamic systems of interacting agents. Particular attention is focused on dynamic stochastic models that generalize traditional assumptions regarding agent heterogeneity, preference specifications, decision horizons, state-space characteristics, market imperfections, idiosyncratic risks, and aggregate uncertainty. Building on earlier simulation techniques, the computational algorithms incorporate recent advances in projection methods and perturbation techniques." --Leigh Tesfatsion, Iowa State University
Ratings and Reviews
About the Editors
Karl Schmedders
Affiliations and Expertise
Department of Business Administration, University of Zurich, Switzerland

Kenneth Judd
Affiliations and Expertise
Hoover Institution, Stanford, CA, USA
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