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Advanced computational methods for solving modern asset pricing models

Advanced computational methods

Prof John Stachurski

Movements in asset prices have large and enduring effects on private investors, public sector finances, the distribution of wealth in our society and the level of business activity. In recent years, economists have worked hard to build better models of asset prices, moving away from hyper-rationality and towards realistic features such as heterogeneity, habit persistence and bounded rationality. Unfortunately, the additional complexity involved in these models makes them difficult to solve, hampering our ability to apply them to real world problems. This project aims to provide a systematic, innovative and comprehensive set of solution methods for such asset pricing models, from numerical analysis to computer implementation.

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Updated:   18 February 2017 / Responsible Officer:  Dean, Business & Economics / Page Contact:  College Web Team