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In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the...
Persistent link: https://www.econbiz.de/10005537530
Many numerical methods to price options have been suggested in the finance literature. This paper aims at reviewing several numerical approaches in order to discuss their practical strenghts and/or weaknesses. The problem under investigation is a multivariate contingent claims model with three...
Persistent link: https://www.econbiz.de/10005706668
Monte Carlo (MC) methods have proved flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater efficiency for such methods for serial computers.In this paper, we concentrate on the parallelization potentials of the MC methods....
Persistent link: https://www.econbiz.de/10005132741
Persistent link: https://www.econbiz.de/10005345229
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...
Persistent link: https://www.econbiz.de/10005345576
Persistent link: https://www.econbiz.de/10005132717
This paper presents a dynamic model of job search behavior over the Life Cycle. Individuals endogenously make consumption-saving, labor-leisure, and search decisions under capital, lifetime and wage uncertainty. We extend recent research on these types of stochastic dynamic programming models to...
Persistent link: https://www.econbiz.de/10005132886
We provide an empirical analysis of the Social Security disability application, award, and appeal process using the Health and Retirement Survey. We show that the appeal option increases the award probability from 46\% to 73\%. However, this comes at the cost of significant delays: the duration...
Persistent link: https://www.econbiz.de/10005408442
Persistent link: https://www.econbiz.de/10005765576
A pervasive concern with the use of self-reported health and disability measures in behavioral models is that they are biased and endogenous. A commonly suggested explanation is that survey respondents exaggerate the severity of health problems and incidence of disabilities in order to...
Persistent link: https://www.econbiz.de/10005222414