Beginning with Mirrlees, the optimal taxation literature has generally focused on economies where individuals are differentiated by only their productivity. In this pa- per we examine models with discrete types where individuals are differentiated by two or more characteristics. For example, we...

We study computational aspects of moral-hazard problems. We consider deterministic contracts as well as contracts with action and/or compensation lotteries, and formulate each case as a mathematical program with equilibrium constraints (MPEC). We investigate and compare solution properties of...

This paper uses an asymptotically valid expansion to derive explicitly agent's individual demand schedules and then the equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the latter using bonds and stocks and the option...

There are many numerical algorithms to solve any problem. It is often difficult to compare competing algorithms since authors demonstrate their algorithms on different problems. In the numerical analysis literature, the typical approach to compare alternative algorithms is to develop a suite of...

Computing equilibrium in markets with incomplete asset spanning is difficult to do in general. In real markets the amount of uncertainty which occurs between trading periods is relatively small. We use bifurcation methods to derive Taylor series expansions which are asymptotically valid...

Numerical methods are increasingly used in graduate student research. I will discuss the problems of how to teach the necessary skills and the challenges of incorporating such teaching into a graduate program

We explore methods for solving continuous-time, finite-state dynamic games, and document the advantages of such models over comparable discrete-time models. In particular, continuous-time models are more flexible since they avoid lumpiness in time, and computational methods for continuous-time...

The parametric path method applies projection methods to compute the equilibrium path of economic variables in infinite-horizon dynamic models. We exploit the special structure of economic time paths common in such models. This structure drastically reduces dimensionality and reduces computing...