Applied Computational Economics and Finance
Mario J. Miranda & Paul L. Fackler
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)