By simplifying the computational tasks and by providing step-by-step explana-tions of the procedures required to study a linear dynamic rational expectations(LDRE) model, this paper and the accompanying \LDRE Toolbox" of Matalb func-tions guide a researcher with almost no experience in...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

This article investigates the impacts of asymmetric information within a Lucas (1978) asset pricing economy. Asymmetry enters via the assumption that one group of agents is equipped with superior information about the dividend process.(...)

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Nonlinear AC Optimal Power Flow (OPF) problems are commonly approximatedby linearized DC OPF problems to obtain real power solutions for restructured wholesalepower markets. We first present a standard DC OPF problem, which has thenumerically desirable form of a strictly convex quadratic...

This study explores the use of the agent based computational economics (ACE) technique to address the question of how a Treasury should auction its securities. In particular, this study explores whether a Treasury should use a discriminatory-price rule. Buyers are modeled as profit seekers that...

Was erwartet mich an der Hochschule? Werde ich den Anforderungen gerechtwerden können? Wie ist das in einer Vorlesung? Wie sind die Professoren?Wer studiert außer mir das Fach? Diese und weitere Fragen beschäftigen jedenStudienanfänger. Der Schritt von der Schule oder aus der beruflichen...

Following a trend of sustained and accelerated growth, the VIXfutures and options market has become a closely followed, active andliquid market. The standard stochastic volatility models | whichfocus on the modeling of instantaneous variance | are unable to t theentire term structure of VIX...