Applied Computational Economics and Finance / Edition 1

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Overview

This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs.The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations,
and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.

The MIT Press

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What People Are Saying

From the Publisher

"One of this book's many strengths is its structure, the way theory-based chapters alternate with analytical ones. This will make it an invaluable resource in the classroom."--Thomas
J. Sargent, Hoover Institution, Stanford UniversityPlease note: Note slight change to quote and to institutional affiliation. Apologies for the many recirculations. Thanks!

The MIT Press

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Product Details

  • ISBN-13: 9780262633093
  • Publisher: MIT Press
  • Publication date: 9/1/2004
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 528
  • Sales rank: 1,214,567
  • Product dimensions: 7.00 (w) x 9.00 (h) x 0.68 (d)

Meet the Author

Mario J. Miranda is Professor and Chair of Graduate Studies, Department of Agricultural,
Environmental, and Development Economics, Ohio State University.

Paul L. Fackler is Associate Professor, Department of Agricultural and Resource Economics,
North Carolina State University.

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Table of Contents

Preface
1 Introduction 1
2 Linear Equations and Computer Basics 7
3 Nonlinear Equations and Complementarity Problems 29
4 Finite-Dimensional Optimization 59
5 Numerical Integration and Differentiation 85
6 Function Approximation 115
7 Discrete Time, Discrete State Dynamic Models 155
8 Discrete Time, Continuous State Dynamic Models: Theory and Examples 189
9 Discrete Time, Continuous State Dynamic Models: Methods 223
10 Continuous Time Models: Theory and Examples 311
11 Continuous Time Models: Solution Methods 371
App. A Mathematical Background 459
App. B A MATLAB Primer 477
References 493
Index 499
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