Computational Economics

  1. Financial Economics Applications
    1. Asset Pricing Models
      1. Present Value Models
        1. Dividend Discount Models
          1. Earnings Models
          2. Factor Models
            1. CAPM
              1. Fama-French Models
                1. Arbitrage Pricing Theory
                2. Stochastic Discount Factor Models
                  1. Consumption-Based Models
                    1. Production-Based Models
                  2. Derivatives Pricing
                    1. Option Pricing Models
                      1. Black-Scholes Model
                        1. Binomial Trees
                          1. Monte Carlo Methods
                          2. Interest Rate Models
                            1. Vasicek Model
                              1. Cox-Ingersoll-Ross Model
                                1. Heath-Jarrow-Morton Framework
                                2. Credit Risk Models
                                  1. Structural Models
                                    1. Reduced-Form Models
                                      1. Credit Default Swaps
                                    2. Portfolio Optimization
                                      1. Mean-Variance Optimization
                                        1. Efficient Frontier
                                          1. Capital Allocation Line
                                            1. Sharpe Ratio Maximization
                                            2. Risk Management
                                              1. Value at Risk
                                                1. Expected Shortfall
                                                  1. Stress Testing
                                                  2. Dynamic Portfolio Choice
                                                    1. Merton's Problem
                                                      1. Life-Cycle Portfolio Choice
                                                        1. Behavioral Factors
                                                      2. Market Microstructure
                                                        1. Order Book Modeling
                                                          1. Limit Order Books
                                                            1. Market Making
                                                              1. Price Discovery
                                                              2. High-Frequency Trading
                                                                1. Algorithmic Trading Strategies
                                                                  1. Market Impact Models
                                                                    1. Latency and Speed
                                                                    2. Market Quality Measures
                                                                      1. Bid-Ask Spreads
                                                                        1. Market Depth
                                                                          1. Price Efficiency

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                                                                      9. Microeconomic Applications

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                                                                      11. Industrial Organization Applications