Last Updated: 2/10/2012
Environmental and Resource Management
ECG766 - Computational Methods in Economics and Finance
Applied Computational Economics and Finance, Mario J. Miranda and Paul L. Fackler, MIT Press
CompEcon Toolbox for MATLAB
Papers and Computer Code on Affine Diffusions
Other Working Papers and Lecture Notes
North Carolina Grain Marketing WebPage
My Music Homepage
Working Papers and Lecture Notes
Working Papers are in Postcript (.PS) format unless otherwise noted. These can be viewed and printed using GhostScript which may be downloaded off of the web.
"Volatility Models for Commodity Markets," with Yanjun Tian. This paper explores seasonality in futures and options volatility with an application to the soybean market.
Term Structure Model for Agricultural Futures", with Matthew C. Roberts. Extends Schwartz's term structure
model to incorporate seasonality in the convenience yield. Contains an application to wheat futures. Selected
Paper, American Agricultural Economics Association Meetings, Nashville, TN Aug.
"Notes on matrix calculus" Discusses calculus involving matrix operators; useful in econometrics and computation (PDF version).
"Generating Correlated Multidimensional Variates." This paper discusses a method for simulating mulidimensional random variates with specified marginal distributions and Spearman correlation matrix.
I have a number of programs in Matlab that may be useful. There are both M-files and MEX files coded in C to handle some loop intensive operations. The MEX files are available as C code (.C) or as compiled .DLL files for the Windows 95 or NT operating systems. I've tried to make the MEX files as bullet proof as possible but there are limits to my patience and so I suggest you make sure you know what they are supposed to do.
DISCLAIMER: Any code provided at this web site is provided for
non-commercial use only. It is provided with no claims to its quality or
suitability for specific tasks. Any use of the code should acknowledge its
source. The code is copyrighted material and should not be modified or altered
without the permission of the author. Use for commercial purposes should not be
undertaken with permission of the author.
This file contains an introduction to using MATLAB that I developed for a class I teach. Comments are welcome. There is also a ZIP file with the M-files discussed in the primer. Use them as you see fit.
Download Primer M-files
Discrete Dynamic Programming Toolbox
Note: Code for solving Discrete DP problems is available in the CompEcon Toolbox.
Distance Matrix Code
A zip file containing code to compute a distance function. Contains c-code, a Windows DLL file and a dummy M-file for help.