Applied Computational Economics and Finance
Mario J. Miranda & Paul L.
Fackler
The
MIT Press, 2002
Applied Computational Economics and Finance is a textbook written
for graduate students and for economics and finance professionals who want to
get a practical introduction to computational methods useful in solving
economic models. The text covers basic aspects of numerical analysis, including
solving nonlinear equations and optimization problems, numerical integration
and differentiation, and solving functional equations (including differential
equations). The text also has extensive treatment of solving dynamic economics
and financial models, including dynamic programming problems, rational
expectations and dynamic games and arbitrage-based asset pricing problems. Both
discrete and continuous time models are covered.
The text contains numerous worked examples from a variety of economic
sub-disciplines, including finance, resource economics, macroeconomics and
agricultural economics. MATLAB code for all of the examples in the text is
available and is distributed with an extensive library of functions (the
CompEcon Toolbox). The library functions include rootfinding and optimization
solvers, a integrated set of routines for function approximation using
polynomial, splines and other functional families, a set of numerical
integration routines for general functions and for common probability
distributions, general solvers for Ordinary Differential Equations (both
initial and boundary value problems), routines for solving discrete and
continuous time dynamic programming problems, and a general solver for
financial derivatives (bonds, futures, options).
Errata (an unfortunate reality - last updated Thursday, Oct. 6, 2005)
For additional information or to report any problems, please contact:
Paul Fackler or Mario Miranda