Research

Publications

Working Papers (available for download from SSRN)

Permanent Working Papers (available for download from SSRN)

Work in Progress

PDE Solver

I have developed a Matlab solver for parabolic (and elliptic) partial differential equations, which are common in finance and economics. As an example, the solver can determine the value function in an endowment economy with recursive preferences of the Epstein-Zin type leading to semi-linear PDEs, and can handle consumption plus two continuous state variables driven by Brownian and Poissonian shocks, as well as two (directed or undirected) Markov chains. Similarly, it can be applied to option pricing solving parabolic PDEs of the Black-Scholes type. Moreover, it can easily be extended to Hamilton-Jacobi-Bellman equations and more involved state variable dynamics. The solver will soon be available for download together with a readme file.