In this paper we present an original model of sequential problem choice within scientific communities. Disciplinary knowledge is accumulated in the form of a growing tree-like web of research areas. Knowledge production is sequential since the problems addressed generate new problems that may in turn be handled. This model allows us to study how the reward system in science influences the scien...

This pa per suggests a simple method based on Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. The methodology simply consists in determining the value function by using a set of nodes and basis functions. We provide two examples. Pricing an European option and determining the best policy for chatting down a machinery. The suggested method is flexible, e...

This article presents a novel computational approach to solving models with both uninsurable idiosyncratic and aggregate risk that uses projection methods, simulation and perturbation. The approach is shown to be both as efficient and as accurate as existing methods on a model based on Krusell and Smith (1998), for which prior solutions exist. The approach has the advantage of extending straigh...

This paper proposes an improved procedure for stochastic volatility model estimation with an application in risk management. This procedure is composed of the following instrumental components: Fourier transform method for volatility estimation with a price correction scheme, and importance sampling for extremal event probability estimation with applications to estimate Value-at-Risk and condit...

In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series averages to be regarded as approximations to population means. As it turns out, many economic models routinely used for quantitative modeling do not satisfy the classical ergodicity conditions. In this paper we develop a new set of ergodicity conditions orientated towards econom...

The paper presents the results of some simulations of the effect of the invasion of non-cooperating subjects into a community adopting a cooperative convention. The convention is described by an indefinitely repeated prisoner-dilemma game. We check the effects on the robustness of the cooperating convention of two characteristics of the game, namely the number of cooperators and the "intelligen...

We propose a decision making process meant to mimic human behavior. This process is implemented with computational agents. We use this computational testbed to run simulations of two coordination games, the minimum-effort coordination game and the battle of the sexes game. We find that the computational agents exhibit behavior similar to human subjects from previous experimental work. We then u...

We show how to calibrate CES production and utility functions when indirect taxation affecting inputs and consumption is present. These calibrated functions can then be used in computable general equilibrium models. Taxation modifies the standard calibration procedures since any taxed good has two associated prices and a choice of reference value units has to be made. We also provide an example...

We study Markov-perfect Nash equilibria (MPNE) of a Ramsey-Cass-Koopmans economy in which households are aware of their influence on prices. The Ramsey conjecture fails to hold such that households other than the most patient one own positive wealth in the steady state. This confirms results that have been derived in the same model using an openloop equilibrium concept. In contrast to the compe...

In this paper we study a binomial model with random time steps and explain how to calculate values for European and American call and put options. We prove both weak convergence of the discrete processes to the Black}Scholes setup and convergence of the values for European and American put options. Computational experiments exhibit a smooth convergence structure and suggest that we can obtain a...