Economic and Financial Modeling with Mathematica®

✍ Scribed by Hal R. Varian (auth.), Hal R. Varian (eds.)

• Publisher: Springer-Verlag New York
• Year: 1993
• Tongue: English
• Leaves: 480
• Edition: 1
• Category: Library

✦ Synopsis

Mathematica is a computer program (software) for doing symbolic, numeric and graphical analysis of mathematical problems. In the hands of economists, financial analysts and other professionals in econometrics and the quantitative sector of economic and financial modeling, it can be an invaluable tool for modeling and simulation on a large number of issues and problems, besides easily grinding out numbers, doing statistical estimations and rendering graphical plots and visuals. Mathematica enables these individuals to do all of this in a unified environment. This book's main use is that of an applications handbook. Modeling in Economics and Finance with Mathematica is a compilation of contributed papers prepared by experienced, "hands on" users of the Mathematica program. They come from a broad spectrum of Mathematica devotees in the econometric and financial/investment community on both the professional and academic fronts. Each paper provides a set of tools and examples of Mathematica in action. These tools will also be made accessible to users via a DOS-based floppy disk which will contain Mathematica Notebooks and Packages, and be packaged with the book.

✦ Table of Contents

Front Matter....Pages i-xxii
Symbolic Optimization....Pages 1-25
Designing an Incentive-Compatible Contract....Pages 26-57
Economic Dynamics....Pages 58-79
Perturbation Solution Methods for Economic Growth Models....Pages 80-103
General Equilibrium Models....Pages 104-123
Symbolic Algebra Programming for Analyzing the Long Run Dynamics of Economic Models....Pages 124-147
A Program for Finding Nash Equilibria....Pages 148-166
Cooperative Games....Pages 167-191
Mathematica and Diffusions....Pages 192-213
Itovsn3: Doing Stochastic Calculus with Mathematica....Pages 214-238
Bounded & Unbounded Stochastic Processes....Pages 239-265
Option Valuation....Pages 266-285
Nonlinear Systems Estimation: Asset Pricing Model Application....Pages 286-299
Econometrics.m: A Package for Doing Econometrics in Mathematica....Pages 300-343
Bayesian Econometrics: Conjugate Analysis and Rejection Sampling....Pages 344-367
Time Series Models and Mathematica....Pages 368-406
Decision Analytica: An Example of Bayesian Inference and Decision Theory Using Mathematica....Pages 407-458

✦ Subjects

Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory; Operation Research/Decision Theory; Algorithms