Programming Languages and Systems in Computational Economics and Finance
The developments within the computationally and numerically oriented ar eas of Operations Research, Finance, Statistics and Economics have been sig nificant over the past few decades. Each area has been developing its own computer systems and languages
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Advances in Computational Economics VOLUME 18
SERIES EDITORS Hans Amman, University ofAmsterdam, The Netherlands Anna Nagumey, University of Massachusetts at Amherst, USA
EDITORIAL BOARD Anantha K. Duraiappah, European University Institute John Geweke, University of Minnesota Manfred Gilli, University of Geneva Kenneth L. Judd, Stanford University David Kendrick, University of Texas at Austin Daniel McFadden, University of California at Berkeley Ellen McGrattan, Duke University Reinhard Neck, University of Klagenfurt Adrian R. Pagan, Australian National University John Rust, University of Wisconsin Berc Rustem, University of London Hal R. Varian, University of Michigan
The titles published in this series are listed at the end of this volume.
Programming Languages and Systems in Computational Economics and Finance Edited by
S0ren s. Nielsen Technical University of Denmark, Denmark
SPRINGER SCIENCE+BUSINESS, MEDIA, B.V.
Library of Congress Cataloging-in-Piblication Data
ISBN 978-1-4613-5369-0 ISBN 978-1-4615-1049-9 (eBook) DOI 10.1007/978-1-4615-1049-9
Printed on acid-free paper
All Rights Reserved © 2002 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers in 2002 Softcover reprint ofthe hardcover Ist edition 2002 No part of this work may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, microfilming, recording or otherwise, without written permission from the Publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work.
Contents
Preface
vii
Contributing Authors Part I
IX
Models and Modelling
1 COIN-OR: An Open-Source Library for Optimization
3
Matthew J. Saltzman 2 Macroeconomics: What can we learn from the Dynamical Systems literature? Pere Gomis-Porqueras and Alex Haro
3 The rapid implementation of assetlliability models for risk management
33
63
Jerome L Kruiser 4 Human and Organization Challenges to the Use of Optimization
93
Donald E. Shobrys Part II
High-level and Object Oriented Approaches
5 Object-oriented Programming using Ox Jurgen A. Doomik
115
6 Design Patterns in Hierarchical Models
149
Chris R. Birchenhall 7 Facilitating applied economic research with Stata
Christopher F. Baum
v
173
vi LANGUAGES AND SYSTEMS IN ECONOMICS AND FINANCE 8 Formulation of Linear Optimization Problems in C++ 199 Tim H. Hultberg Part III
Maple and MATLAB
9 MAPLE and MATLAB for Stochastic Differential Equations in Finance Desmond l. Higham and Peter E. Kloeden
233
10 Computational Programming Environments Ric D. Herbert
271
11 Statistics and simulations with Maple lerzy Ombach and lolanta larnicka
297
12 MATLAB as a Flexible Tool for Data Analysis and Optimisation George R. Lindfield and lohn E. T. Penny
331
Part IV
Options and Differential Equations
13 Option pricing with Excel Peter Honore and Rolf Poulsen
369
14 Numerical solution of bou
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