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The Random Yield Curve and Interest Rate Options

Chu, Meifang - EconWPA - 1997

This paper proposes a simple and unifying model to price the interest rate contingent claims in a complete market where trading can be made in continuous time. The underlying dynamics of the yield curve is modelled by a random string whose trajectory produces a random surface described by a...

Persistent link: https://www.econbiz.de/10005413112

Computing Equilibria in Finance Economies

Herings, P.J.J.; Kubler, F. - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005125623

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

Persistent link: https://www.econbiz.de/10005134854

Approximating and Simulating the Stochastic Growth Model: Parameterized Expectations, Neural Networks, and the Genetic Algorithm

McNelis, Paul; Duffy, John - EconWPA - 1998

expectations. We compare polynomial and neural netowork specifications for expectations, and we employ both genetic algorithm and … the neural network specification in combination with the genetic algorithm and gradient descent optimization methods … algorithm solution methods should at least complement parameterized expectation solutions based on polynomial approximation and …

Persistent link: https://www.econbiz.de/10005125625

A Framework for Studying Economic Interactions (with applications to corruption and business cycles)

Verbrugge, Randal J. - EconWPA - 1998

mathematical tools which appears useful in exploring the economic implications of local interactions is the theory of interacting … particle systems. Unfortunately, the extant theory mainly addresses the long-time behavior of infinite systems, and focuses on …

Persistent link: https://www.econbiz.de/10005407546

Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization

Barro, Diana; Canestrelli, Elio - EconWPA - 2005

We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete...

Persistent link: https://www.econbiz.de/10005125637

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

Zakamouline, Valeri - EconWPA - 2004

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction...

Persistent link: https://www.econbiz.de/10005125672

Solving Finite Mixture Models in Parallel

Ferrall, Christopher - EconWPA - 2003

Many economic models are completed by finding a parameter vector that optimizes a function f, a task that only be accomplished by iterating from a starting vector. Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of...

Persistent link: https://www.econbiz.de/10005134589

Can Sectoral Shifts Generate Persistent Unemployment in Real Business Cycle Models?

Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003

This paper extends the standard Real Business Cycle model to incorporate sectoral shifts in unemployment. Using relative sectoral technology and sectoral tastes shocks, combined with labor adjustment costs across sectors, we assess the possibility of generating persistent aggregate unemployment....

Persistent link: https://www.econbiz.de/10005412613

An Algorithm for Solving Arbitrary Linear Rational Expectations Model

Kowal, Pawel - EconWPA - 2005

We consider solutions to general linear dynamic systems, possibly singular and non square with general stability conditions. Besides constructing a general algorytm for finding solutions we provide necessary and sufficient conditions for existence of a solution.

Persistent link: https://www.econbiz.de/10005556725

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