nep-cmp New Economics Papers
on Computational Economics
Issue of 2006‒05‒13
three papers chosen by
Stan Miles
York University

  1. Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market By Denis Belomestny; Grigori Milstein
  2. Trade Liberalisation, Poverty and Inequality in South Africa: A CGE-Microsimulation Analysis By Nicolas Hérault
  3. Exploratory Graphics of a Financial Dataset By Antony Unwin; Martin Theus; Wolfgang Härdle

  1. By: Denis Belomestny; Grigori Milstein
    Abstract: Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows constructing both upper and low bounds for the true price by Monte Carlo simulations. An adaptive choice of local low bounds and use of the kernel interpolation technique enhance efficiency of the whole procedure, which is supported by numerical experiments.
    Keywords: American and Bermudan options, Lower and Upper bounds, Monte Carlo simulation, Variance reduction
    JEL: C15 G12
    Date: 2006–04
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-038&r=cmp
  2. By: Nicolas Hérault (Centre d'Économie du Développement (IFReDE-GRES) Université Montesquieu Bordeaux IV and Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)
    Abstract: This paper aims to study the effects on poverty and income inequality of trade liberalisation in South Africa. This is achieved by using a micro-macro model. The main issue of interest is the effect of international trade on households (especially their income); some changes may contribute to reduce poverty while other changes could work against the poor. The approach presented in this paper relies on combining a macro-oriented computable general equilibrium (CGE) model and a microsimulation (MS) model. Combining these two models the microeconomic effects (on poverty and inequality) of a macroeconomic policy (trade liberalisation) can be analysed. The paper gives details about the MS model, the CGE model and the "top-down" approach used to link the two models. The main concern regarding poor households is whether the decrease in real (or nominal) earnings for formal low-skilled and skilled workers is offset by the upward trend in formal employment levels. This appears to be the case implying a decrease in poverty due to trade liberalisation. Although whites emerge as the main winners, the increase in inter-group inequality is more than compensated by the decrease in intra-group inequality.
    Date: 2005–11
    URL: http://d.repec.org/n?u=RePEc:iae:iaewps:wp2005n17&r=cmp
  3. By: Antony Unwin; Martin Theus; Wolfgang Härdle
    Keywords: company rating, default probability, support vector machines, colour coding
    JEL: C14 G33 C45
    Date: 2006–04
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-031&r=cmp

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