New Economics Papers
on Computational Economics
Issue of 2005‒01‒23
four papers chosen by
  1. A Primer on Pricing European Options with Matlab By Kirby Adam J.R. Faciane
  2. Firm Tunrover and the Rate of Macroeconomic Growth - Simulating the Macroeconomic Effects of Schumpeterian Creative Destruction By Eliasson, Gunnar; Johansson, Dan; Taymaz, Erol
  3. An Algorithm for Solving Arbitrary Linear Rational Expectations Model By Pawel Kowal
  4. Comparing Solution Methods for Dynamic Equilibrium Economies By S. B. Aruoba; Jesús Fernández-Villaverde; Juan F. Rubio-Ramirez
  1. By: Kirby Adam J.R. Faciane (Kirby Faciane / KAJR Faciane)
    Abstract: The following paper is a very short introductory primer on valuing European options with Matlab.
    Keywords: options pricing; Matlab; financial modeling; computer programs; computational finance; computational economics; computational econometrics; programming; software; software components; syntax; econometrics; finance; Matlab;
    JEL: A A0 A00 A1 A10 A19 A2 A20 A23 C0 C C00 C1 C10 C19 C8 C87 C88 C80 C89 G G0 G00 G1 G10 G19
    Date: 2005–01–16
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpfi:0501010&r=cmp
  2. By: Eliasson, Gunnar (Royal Institute of Technology); Johansson, Dan (The Ratio Institute); Taymaz, Erol (Middle East Technical University)
    Abstract: The positive effects of new innovative entry and fast and efficient allocation of resources are balanced against the efficiency of price signaling in markets in a non-linear micro based simulation model of an Experimentally Organized Economy (EOE). In this model increasingly rapid reallocation of resources over markets, moved by innovative new entry and competitive exit (the rate of firm turnover) generates faster growth in output, but eventually, if too fast, is shown to affect the reliability of price signaling in markets and to raise the frequency of investment mistakes. Beyond a certain level of the rate of firm turnover the aggregate effects at the macro level, therefore, turn negative. This optimal growth trajectory depends on the balance between the rates of entry and exit and on the performance of new firms compared to incumbents, their size compared to incumbents and the variation in the same characteristics.
    Keywords: Business Mistakes; Economic Systems Stability; Endogenous Growth; Experimentally Organized Economy (EOE); Firm Turnover
    JEL: C15 C45 C62 C81 L16 O12
    Date: 2005–01–18
    URL: http://d.repec.org/n?u=RePEc:hhs:ratioi:0066&r=cmp
  3. By: Pawel Kowal (Department of Economics Warsaw School of Economics)
    Abstract: We consider solutions to general linear dynamic systems. Besides constructing a general algorytm for finding solutions to any, possibly rectangular, linear systems, we provide necessary and sufficient conditions for existence of the solution.
    Keywords: Computational Methods, Schur Decomposition, GUPTRI Decomposition, Sunspots.
    JEL: C61 C63
    Date: 2005–01–17
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpge:0501001&r=cmp
  4. By: S. B. Aruoba; Jesús Fernández-Villaverde; Juan F. Rubio-Ramirez
    Date: 2005–01–17
    URL: http://d.repec.org/n?u=RePEc:cla:levrem:122247000000000855&r=cmp
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