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Applied Computational Economics and Finance (The MIT Press)
Get Free Ebook Applied Computational Economics and Finance (The MIT Press)
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Review
--John Rust, Professor of Economics, University of Maryland--Thomas J. Sargent, Hoover Institution, Stanford University--Paul D. McNelis, Professor of Economics, Georgetown University--Mikhail Chernov, Assistant Professor of Finance, Columbia Business School" 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 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" 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 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& quot; 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.& quot; -- Thomas J. Sargent, Hoover Institution, Stanford University& quot; 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.& quot; -- Mikhail Chernov, Assistant Professor of Finance, Columbia Business School
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Review
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 UniversityThis 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 UniversityThis 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
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Product details
Series: The MIT Press
Paperback: 528 pages
Publisher: The MIT Press; New Ed edition (September 1, 2002)
Language: English
ISBN-10: 9780262633093
ISBN-13: 978-0262633093
ASIN: 0262633094
Product Dimensions:
7 x 0.7 x 9 inches
Shipping Weight: 1.5 pounds (View shipping rates and policies)
Average Customer Review:
4.2 out of 5 stars
11 customer reviews
Amazon Best Sellers Rank:
#904,588 in Books (See Top 100 in Books)
What I like about this book is that it combines theory, with Matlab code to practice. Besides, the theory of numerical analysis is treated in a very focused way, so you won't be learning very abstract stuff, instead, you will learn the basic theory needed to understand how numerical analysis helps in economics and finance. I took the course given by the author Mario Miranda, that also helped a lot. The CompEcon toolbox for Matlab is EXTREMELY useful.
This is a really good book in numerical methods. It goes step by step and has exercises you can do while reading the book that help you not only understand the topics and do it yourself, but apply numerical methods to every-day problems.
I was looking for a book that teaches how to use MATLAB to solve certain finance and economics problems, and purchased this book. The book covers very interesting topics and discusses many types of solution methods. However, the applications to MATLAB are not presented in a user-friendly way. In particular, they do not present things in a step-by-step manner and assume many things. The reader is then left to figure out how to complete programs either from some other part of the book or from prior knowledge. Thus, the book is successful in letting the reader become aware of the capabilities of MATLAB (i.e. what sort of computational techniques the program can do). However, it would havae been best if the authors wrote all the programs with complete codes. They often mention that the code assumes that the reader does this and does that.
Excellent
I used this book for a course taught in my Graduate studies. This book makes understanding concepts so much easy, and is very readable as well. It provides examples with codes written to carry out the examples as well. The end-of-chapter exercises are also helpful and relevant. A must purchase for any economics students interested in Computational and neumerical economics.
very good book for applied economics with many examples and usefull Matlab codes. Very good and useful Matlab toolkit.However, the theoretical side is relatively weak and not covered well.
It is very common in the natural sciences to have exact analytical results, but to lack the mathematical techniques to provide analytical solutions to the resulting equations. In many cases this is due to incomplete knowledge, so some future mathematician will come up with solutions that do not now exist. However, it is often the case that there do not exists closed-form solutions, or the problem is so large that the required calculations are infeasible. The latter is often the case with so-called complex systems---they are complex only in the sense that the solution space exceeds our capacity to calculate.In such situations, the accepted research technique is to find approximate solutions for an appropriate range of model parameters. This book is devoted to providing techniques for this "computational" approach. The authors' preferred models are dynamic optimization models, and somewhat ironically, their presentation of the models (although not going beyond Bellman and Lucas-Stokey) is the more interesting part of the book. By contrast, their presentation of computational methods is elementary, basically describing a tool kit using the MatLab software environment. This is a serious error, because it leads the user away from useful computational techniques.The book opens with techniques for solving linear equations and approximating roots to continuous functions. In fact, the user rarely needs to know such details, but rather should go to Mathematica or Maple software that can do a better job in 99% of the cases that a casual user will ever do knowing the few classical techniques used in this book. But the authors never mention any software except MatLab, which is good for some things but not very good for others.The biggest gap in the books is its treatment of Markov processes, which are ubiquitous in models of choice and strategic interaction. Markov processes are classic examples of analytical models in which it is easy to write down the equilibrium and even the dynamics, but the equations are many orders of magnitude too numerous to solve in human dimensions of time and space. Moreover, in my estimation Markov models are much more important than dynamic optimization models, which presume much more information on the part of the decision-maker than is usually available (outside of an engineering context). Finanical economic is a mess in part because it makes assumptions that allow dynamic optimization to appear to provide useful solutions, but in fact more realistic behavioral models, taking seriously the information possessed by decision-makers, would be much more useful.As an alternative to this book, I would look at Judd and Tesfatsion's Handbook of Computational Economic and the many references therein.
This is one of the few books that covers the topics of numerical methods to solve finance and economics problems. It provides a large number of generic applications.Readers that can use Matlab will especially benefit. If so, be sure to get the author's toolbox and see the errata on the author's page.There are two other books that might be useful to those interested in this text: Dixit and Pindyck's Investment Under Uncertainty (1994), and Patrick Anderson's Business Economics and Finance (2004) [my book], which cites the Dixit and Miranda texts.Readers should be prepared for some math, although it is much more accessible here than in most graduate texts in financial mathematics.
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