Simon Scheidegger

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

  • University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

SCHOLARLY PAPERS

24

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220

Scholarly Papers (24)

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1.

Deep Equilibrium Nets

Number of pages: 81 Posted: 10 Jun 2019 Last Revised: 22 Jan 2022
Marlon Azinovic, Luca Gaegauf and Simon Scheidegger
University of Pennsylvania, University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,138 (15,935)
Citation 47

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computational economics, deep learning, deep neural networks, global solution method, life-cycle, occasionally binding constraints, overlapping generations

2.

Deep Surrogates for Finance: With an Application to Option Pricing

Number of pages: 59 Posted: 12 Mar 2021 Last Revised: 29 Jan 2025
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, University of Melbourne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,642 (24,061)
Citation 4

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surrogate, deep neural network, tail risk index, parameter instability, illiquidity, distribution of option return, VaR

3.

The Climate in Climate Economics

Number of pages: 52 Posted: 14 Jul 2021 Last Revised: 10 May 2023
Doris Folini, Felix Kubler, Aleksandra Friedl and Simon Scheidegger
ETH Zurich, Institute for Atmospheric and Climate Science, University of Zurich, University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,174 (39,592)
Citation 9

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climate change, social cost of carbon, carbon taxes, environmental policy, deep learning, integrated assessment models, DICE-2016

4.

Machine Learning for Dynamic Incentive Problems

Number of pages: 65 Posted: 13 Nov 2018 Last Revised: 19 Jan 2025
Philipp Renner and Simon Scheidegger
Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,100 (43,667)
Citation 9

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Dynamic Contracts, Principal-Agent Model, Heterogeneous Agents, Dynamic Programming, Machine Learning, Gaussian Processes, Reinforcement Learning

5.

Machine Learning for High-Dimensional Dynamic Stochastic Economies

Number of pages: 38 Posted: 06 Mar 2017 Last Revised: 10 Aug 2017
Simon Scheidegger and Ilias Bilionis
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Purdue University
Downloads 991 (50,446)
Citation 18

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Machine Learning, Gaussian Process, Active Subspaces, High-Performance Computing, Neoclassical Growth, Dynamic Programming

6.

A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs

Swiss Finance Institute Research Paper No. 23-114
Number of pages: 70 Posted: 18 Aug 2023 Last Revised: 27 Nov 2023
Luca Gaegauf, Simon Scheidegger and Fabio Trojani
University of Zurich, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Geneva
Downloads 921 (55,920)

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Machine learning, computational finance, computational economics, Gaussian process regression, dynamic portfolio optimization, transaction costs, liquidity premia

7.

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Number of pages: 37 Posted: 04 Nov 2013 Last Revised: 25 May 2017
Johannes Brumm and Simon Scheidegger
Karlsruhe Institute of Technology and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 895 (58,076)
Citation 51

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Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Menu Costs, Occasionally Binding Constraints

8.

Detecting Edgeworth Cycles

Number of pages: 74 Posted: 05 Oct 2021 Last Revised: 15 Nov 2023
Timothy Holt, Mitsuru Igami and Simon Scheidegger
Università della Svizzera italiana, University of Toronto - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 733 (75,984)
Citation 1

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Deep neural networks, Edgeworth cycles, Fuel prices, Machine learning, Markups, Nonparametric methods, Spectral analysis

9.

Sparse Grids for Dynamic Economic Models

Number of pages: 29 Posted: 14 Dec 2021 Last Revised: 02 May 2022
Johannes Brumm, Christopher Krause, Andreas Schaab and Simon Scheidegger
Karlsruhe Institute of Technology, affiliation not provided to SSRN, Columbia Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 671 (85,143)
Citation 9

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parse Grids, Smolyak Sparse Grids, Adaptive Sparse Grids, International Real Business Cycles, Occasionally Binding Constraints, Dynamic Programming, Time Iteration, Hamilton-Jacobi-Bellman Equations, Heterogeneous Agent Models

10.

Deep Replication

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 07 Feb 2023
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
University of Melbourne, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 541 (111,786)
Citation 1

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Deep Learning, Agent Preferences, Risk Aversion, Volatility Smile, Asset Pricing

11.

Monetary Policy with Persistent Supply Shocks

Downloads 492 (126,160)

Monetary Policy with Persistent Supply Shocks

Number of pages: 64 Posted: 05 Dec 2024
Galo Nuño, Philipp Renner and Simon Scheidegger
Banco de España, Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 423 (149,013)

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Deep Learning, Markov switching model, cost-push shocks

Monetary Policy with Persistent Supply Shocks

CESifo Working Paper Series No. 11463
Number of pages: 67 Posted: 05 Dec 2024
Galo Nuño, Philipp Renner and Simon Scheidegger
Banco de España, Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 69 (739,437)

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deep learning, Markov switching model, cost-push shocks

12.

Ricardian Business Cycles

Swiss Finance Institute Research Paper No. 23-43
Number of pages: 62 Posted: 22 Nov 2022 Last Revised: 22 Aug 2023
Lorenzo Bretscher, Jesús Fernández-Villaverde and Simon Scheidegger
Swiss Finance Institute - HEC Lausanne, University of Pennsylvania - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 407 (156,975)

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International Trade, Business Cycles, General Equilibrium, Comparative Advantage, Deep Learning

13.

High-Dimensional Dynamic Stochastic Model Representation

Number of pages: 26 Posted: 11 Jun 2020 Last Revised: 10 Feb 2022
Aryan Eftekhari and Simon Scheidegger
Universita della Svizzera Italiana (USI Lugano) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 250 (264,575)
Citation 2

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Generalized ANOVA, Dimensional Decomposition, High-Dimensional Model Representation, Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Occasionally Binding Constraints

14.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 49 Posted: 11 Nov 2016 Last Revised: 30 Aug 2018
Simon Scheidegger and Adrien Treccani
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Zurich
Downloads 247 (267,778)
Citation 7

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American Options, Derivatives, Pricing, High-dimension, Adaptive sparse grids

15.

Self-Justified Equilibria: Existence and Computation

Number of pages: 46 Posted: 16 Dec 2019 Last Revised: 10 Dec 2024
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 224 (294,579)
Citation 4

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Dynamic General Equilibrium, Rational Expectations, Active Subspaces

16.

A Dynamic Model of Private Asset Allocation

Number of pages: 52 Posted: 01 May 2025
Hui Chen, Giovanni Gambarotta, Simon Scheidegger and Yu Xu
Massachusetts Institute of Technology, Liberty Mutual Investments, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Delaware
Downloads 174 (383,998)

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alternative assets, business cycle, liquidity, machine learning, portfolio choice, private equity, return smoothing, risk-based capital

17.

Large-Scale Precision Matrix Estimation With SQUIC

Number of pages: 18 Posted: 16 Aug 2021 Last Revised: 17 Feb 2023
Aryan Eftekhari, Lisa Gaedke-Merzhaeuser, Dimosthenis Pasadakis, Matthias Bollhoefer, Simon Scheidegger and Olaf Schenk
Universita della Svizzera Italiana (USI Lugano), Universita della Svizzera Italiana (USI Lugano), Universita della Svizzera Italiana (USI Lugano), TU Braunschweig, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Universita della Svizzera Italiana (USI Lugano)
Downloads 161 (398,493)

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SQUIC, precision matrix, LASSO, maximum likelihood,R,Python

18.

Scalable Global Solution Techniques for High-Dimensional Models in Dynare

Downloads 108 (502,032)

Scalable Global Solution Techniques for High-Dimensional Models in Dynare

Number of pages: 27 Posted: 31 Mar 2025
Aryan Eftekhari, Michel Juillard, Normann Rion and Simon Scheidegger
Universita della Svizzera Italiana (USI Lugano), Banque de France - Economic Study and Research Division, CY Cergy Paris Université and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 108 (558,986)

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JEL classification: C63, E30, F44 Adaptive Sparse Grids, High-dimensional Model Representation, Global Solution Methods, International Real Business Cycles, Time Iteration

19.

Building Interpretable Climate Emulators for Economics

Number of pages: 57 Posted: 12 Dec 2024 Last Revised: 24 Jan 2025
Aryan Eftekhari, Doris Folini, Aleksandra Friedl, Felix Kubler, Simon Scheidegger and Olaf Schenk
Universita della Svizzera Italiana (USI Lugano), ETH Zurich, Institute for Atmospheric and Climate Science, University of Lausanne, University of Zurich, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Universita della Svizzera Italiana (USI Lugano)
Downloads 88 (627,449)
Citation 8

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climate change, social cost of carbon, carbon taxes, environmental policy, deep learning, integrated assessment models, DICE-2016 JEL classification: C61, E27, Q5, Q51, Q54, Q58

20.

Making Carbon Taxation a Generational Win Win

NBER Working Paper No. w25760
Number of pages: 57 Posted: 24 Apr 2019 Last Revised: 22 May 2022
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin, Jeffrey D. Sachs and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy, Columbia University - Columbia Earth Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 85 (640,870)
Citation 36

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21.

Climate Change Through the Lens of Macroeconomic Modeling

Downloads 77 (678,853)
Citation 2

Climate Change Through the Lens of Macroeconomic Modeling

CESifo Working Paper No. 11346
Number of pages: 43 Posted: 29 Oct 2024
Jesús Fernández-Villaverde, Kenneth Gillingham and Simon Scheidegger
University of Pennsylvania - Department of Economics, Yale University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 66 (751,807)

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climate change, integrated assessment model, dynamic stochastic general equilibrium

Climate Change Through the Lens of Macroeconomic Modeling

NBER Working Paper No. w32963
Number of pages: 42 Posted: 17 Sep 2024 Last Revised: 19 Sep 2024
Jesús Fernández-Villaverde, Kenneth Gillingham and Simon Scheidegger
University of Pennsylvania - Department of Economics, Yale University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 11 (1,313,424)
Citation 2
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22.

Uniformly Self-Justified Equilibria

Number of pages: 30 Posted: 28 Dec 2021 Last Revised: 26 Jul 2023
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 77 (678,853)

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Dynamic General Equilibrium, dynamically simple equilibrium

23.

Pareto-Improving Carbon-Risk Taxation

NBER Working Paper No. w26919
Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 22 Jul 2023
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 64 (751,052)
Citation 12

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24.

Can Today's and Tomorrow's World Uniformly Gain from Carbon Taxation?

NBER Working Paper No. w29224
Number of pages: 57 Posted: 13 Sep 2021 Last Revised: 08 May 2023
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 58 (789,954)

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