Giorgio Pauletto

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The program is funded through a grant from the Social Security Administration (SSA). Each grant awarded is up to $25,000. In addition to submitting a paper, successful applicants also present their results to SSA in Washington, DC. For more information on the Sandell program, please visit our web site at part of a consortium that includes a parallel center(More)
This paper investigates computational and implementation issues for the valuation of options on three underlying assets, focusing on the use of the finite difference methods. We demonstrate that implicit methods, which have good convergence and stability properties, can now be implemented efficiently due to the recent development of techniques that allow(More)
This paper uses the rst three waves of the Health and Retirement Survey HRS to investigate the determinants of labor force status among older Americans. Using transitions at two-year intervals we nd that after being retired or unemployed, those who are actively searching for a job have a higher probability of returning to work. We also nd that being in good(More)
In this paper, diierent strategies to exploit the sparse structure in the solution techniques for macroeconometric models with forward-looking variables are discussed. First, the stacked model is decomposed into recursive submodels without destroying its original block pattern. Next, we concentrate on how to eeciently solve the sparse linear system in the(More)