"Die Armutsmessung der empirischen Sozialforschung ist von einer Reihe von Annahmen und Setzungen abhängig, die Ausmaß und Struktur der Armutsbevölkerung beeinflussen. Äquivalenzskalen, Ermittlung des mittleren Einkommens als Referenzgröße und die Festlegung von Armutsschwellen führen zu...

Computing equilibria in dynamic economies is still quite challenging even though the noticeable increase in computing power, storage capacity and new approaches in the literature on computational economics. The solvability of many economic models suffers from the curse of dimensionality, which...

The nature of computing is changing and it poses both challenges and opportunities for economists. Instead of increasing clock speed, future microprocessors will have "multi-cores" with separate execution units. "Threads" or other multi-processing techniques that are rarely used today are...

This paper presents a numerical nonlinear dynamic programming algorithm for solving so-called optimal learning or adaptive control problems. These are decision problems with unknown parameters where the decisionmaker updates beliefs by Bayes rule. The updating equations are nonlinear. As a...

Dynamic games are used to analyze dynamic strategic interactions. While existence of equilibrium can often be proved by conventional methods, uniqueness is much more difficult to establish. If a game reduces to solving a system of polynomial equations, then one could use algorithms for finding...

We solve the optimal saving/portfolio-choice problem in an intertemporal recursive utility framework. Our solution to this problem is sufficiently general to allow (i) risk aversion to vary independently of intertemporal substitution, (ii) many risky assets, (iii) stochastic labor income that...

This paper studies algorithms for equilibrium problems with equilibrium constraints (EPECs). We present a generalization of Scholtes’s regularization scheme for MPECs and extend his convergence results to this new relaxation method. We propose a sequential nonlinear complementarity (SNCP)...

We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models numerically. Starting from the partial differential equation, we try to - at least partially - break the curse of dimensionality through sparse grids which will result from a...

Recently, there has been many applications of perturbation methods for solving stochastic dynamic general equilibrium models. However, in standard applications of the perturbation method, the Taylor expansion is always computed around the deterministic steady state. Because of nonlinearities,...

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...