Paperback | $56.00 Short | £38.95 | ISBN: 9780262633093 | 528 pp. | 7 x 9 in | 49 line, 30 color illus.| August 2004
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 also provides an extensive Web-site library of computer utilities and demonstration programs.
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.
About the Authors
Mario J. Miranda is Professor and Chair of Graduate Studies, Department of Agricultural, Environmental, and Development Economics, Ohio State University.
Paul L. Fackler is Associate Professor, Department of Agricultural and Resource Economics, North Carolina State University.
"One of this book's many strengths is its structure, the way theory-based chapters alternate with analytical ones. This will make it an invaluable resource in the classroom."
—Thomas J. Sargent, Hoover Institution, Stanford University
"This book is an important contribution to the rapidly growing literature on computational economics and finance. It provides an extremely well integrated presentation of dynamic economic models and some of the most effective numerical methods for solving them. It reinforces these ideas by providing illustrative solutions written in Matlab. This book should enable most people who do not have extensive prior background in computation to understand the key methods and ideas, and to actually begin applying these methods to their own problems. I think it will be an essential part of the toolkit of the applied practitioner in economics or finance."
—John Rust, Professor of Economics, University of Maryland
"This book ties together numerical methods with state of the art mathematical tools in a user-friendly way. It should be part of the program in 'math camps' for incoming graduate students in Economics and Finance. The Matlab programs are a very useful resource for anyone doing applied research."
—Paul D. McNelis, Professor of Economics, Georgetown University
"This text greatly simplifies entry into the challenging field of asset pricing by combining relevant theory and practical advice with an original library of Matlab routines. This work should find its way onto the reference list of many graduate courses in Economics and Finance."
—Mikhail Chernov, Assistant Professor of Finance, Columbia Business School