Programming Languages and Systems in Computational Economics and Finance / Edition 1

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This volume contains a collection of invited, peer-reviewed papers that each highlights a particular system, language, model or paradigm from one of the computational disciplines, aimed at researchers and practitioners from the other fields. The 15 papers cover a wide range of relevant topics; Models and Modelling in Operations Research and Economic (Matt Saltzman; Pere Gomis-Porqueras and Alex Haro; Jerome Kruiser; Don Shobrys), novel High-level and Object-Oriented approaches to programming (Jurgen Doornik; Chris Birchenhall; Christopher Baum; Tim Hultberg), through advanced uses of Maple and MATLAB (Des Higham and Peter Kloeden; Ric Herbert, Jerzy Ombach and Jolanta Jarnicka; George Lindfield and John Penny), and applications and solution of Differential Equations in Finance (Peter Honoré and Rolf Poulsen; Jens Hugger; Sasha Cyganowski and Lars Grüne).

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Product Details

  • ISBN-13: 9781402071393
  • Publisher: Springer US
  • Publication date: 10/30/2007
  • Series: Advances in Computational Economics Series, #18
  • Edition description: 2002
  • Edition number: 1
  • Pages: 460
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.06 (d)

Table of Contents

Contributing Authors
Pt. I Models and Modelling
1 COIN-OR: An Open-Source Library for Optimization 3
2 Macroeconomics: What can we learn from the Dynamical Systems literature? 33
3 The rapid implementation of asset/liability models for risk management 63
4 Human and Organization Challenges to the Use of Optimization 93
Pt. II High-level and Object Oriented Approaches
5 Object-oriented Programming using Ox 115
6 Design Patterns in Hierarchical Models 149
7 Facilitating applied economic research with Stata 173
8 Formulation of Linear Optimization Problems in C++ 199
Pt. III Maple and MATLAB
9 MAPLE and MATLAB for Stochastic Differential Equations in Finance 233
10 Computational Programming Environments 271
11 Statistics and simulations with Maple 297
12 MATLAB as a Flexible Tool for Data Analysis and Optimisation 331
Pt. IV Options and Differential Equations
13 Option pricing with Excel 369
14 Numerical solution of boundary value problems in computational finance 403
15 MAPLE for Jump-Diffusion Stochastic Differential Equations in Finance 441
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