Applied Computational Economics and Finance, Miranda & Fackler

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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 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. Table of Contents Preface1 Introduction2 Linear Equations and Computer Basics3 Nonlinear Equations and Complementarity Problems4 Finite-Dimensional Optimization5 Numerical Integration and Differentiation6 Function Approximation7 Discrete Time, Discrete State Dynamic Models8 Discrete Time, Continuous State Dynamic Models: Theory and Examples9 Discrete Time, Continuous State Dynamic Models: Methods10 Continuous Time Models: Theory and Examples11 Continuous Time Models: Solution MethodsAppendix A: Mathematical BackgroundAppendix B: A MATLAB PrimerReferences • Index