The growing number of auction sites on the internet enable game theorists to ask strategic questions on rationality of the observed bidding behavior. The most popular of them (eBay, Amazon.com, AuctionWatch.com and Yahoo!, etc.) operate under similar sets of rules with seemingly small...

Portfolio manager's performance is often evaluated respect to a predetermined market benchmark. Usually the benchmark is an equity/bond portfolio or index for which the percentage and the bond duration are specified, so the manager's aim is to build a portfolio whose performance replicates the...

Lattice methods are often used to value derivative instruments. Multinomial lattice methods can in principle converge to the true value of the derivative to very high order. In this paper we describe how very high order multinomial lattices can be constructed and implemented when the SDE...

Anderson's papers describe a method for solving linear saddle point models. The numerical implementation of the algorithm has proved useful in a wide array of applications including analyzing linear perfect foresight models, and providing initial solutions and asymptotic constraints for...

The rapid growth of a global electronic market place, together with the establishment of standard negotiation protocols, currently leads to the development of multi-agent architectures in which artificial agents can negotiate on behalf of their users. Ideally, these agents should be able to...

This paper investigates private-value `reserve price' auctions when there is a strong bidder in an n-bidder model. Consider an auction model, in which bidders draw their values from the same distribution, but then identity of the high-value bidder is revealed. This can be more plausible than the...

Krylov subspace methods have proven to be powerful methods for solving sparse linear systems arising in several engineering problems. More recently, these methods have been successfully applied in computational economics, for instance in the solution of forward-looking macroeconometric models...

The paper presents a method for the recursive solution of models with a continuum of heterogeneous agents. Following Krusell and Smith (1998) and others, it is assumed that the wealth distribution in the economy can be represented, to a sufficient degree of accuracy, by a finite number of...

Normative agricultural policy models are traditionally either based on representative farms or on farm samples. A well-known problem of representative farm models is the aggregation error. On the other hand, farm sample models usually do not consider farms' interactions and thus, the farms'...

We discuss two optimization problems from economics. The first is a model of optimal investment and the second is a model of resource management. In both cases the time horizon is infinite and the optimal control variables are continuous. Typically, in these optimal control problems multiple...