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

17

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57

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24

Scholarly Papers (17)

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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 Zurich, University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,483 (17,528)
Citation 10

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

2.

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 812 (41,815)
Citation 34

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

3.

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 800 (42,665)
Citation 18

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

4.

Deep Structural Estimation: With an Application to Option Pricing

Number of pages: 57 Posted: 12 Mar 2021
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, Swiss Finance Institute, UNIL and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 471 (83,958)

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Deep Learning, Structural Estimation, Option Pricing, Parameter Stability

5.

Detecting Edgeworth Cycles

Number of pages: 44 Posted: 05 Oct 2021 Last Revised: 22 Nov 2021
Timothy Holt, Mitsuru Igami and Simon Scheidegger
Università della Svizzera italiana, Yale University - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 393 (103,607)

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Edgeworth cycles, Fuel prices, Markups, Nonparametric methods

6.

Machine Learning for Dynamic Incentive Problems

Number of pages: 43 Posted: 13 Nov 2018 Last Revised: 24 Feb 2020
Philipp Renner and Simon Scheidegger
Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 393 (103,933)
Citation 8

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Dynamic Contracts, Principal-Agent Model, Dynamic Programming, Machine Learning, Gaussian Processes, High-Performance Computing

7.

Implied Risk Aversion Smile

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 15 Jun 2021
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
Swiss Finance Institute, UNIL, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 282 (148,358)
Citation 1

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

8.

The Climate in Climate Economics

Number of pages: 45 Posted: 14 Jul 2021 Last Revised: 04 Oct 2021
Doris Folini, Felix Kubler, Aleksandra Malova 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 267 (157,341)

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

9.

High-Dimensional Dynamic Stochastic Model Representation

Number of pages: 26 Posted: 11 Jun 2020 Last Revised: 10 Feb 2022
Aryan Eftekhari and Simon Scheidegger
Università della Svizzera italiana - Institute of Computational Science and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 180 (226,595)

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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

10.

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 178 (228,795)
Citation 5

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

11.

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, Karlsruhe Institute of Technology - Department of Economics and Management, Columbia Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 158 (252,992)

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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

12.

Large-Scale Precision Matrix Estimation With SQUIC

Number of pages: 15 Posted: 16 Aug 2021
Aryan Eftekhari, Lisa Gaedke-Merzhaeuser, Dimosthenis Pasadakis, Matthias Bollhoefer, Simon Scheidegger and Olaf Schenk
Università della Svizzera italiana - Institute of Computational Science, 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 150 (263,958)

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

13.

Self-Justified Equilibria: Existence and Computation

Number of pages: 30 Posted: 16 Dec 2019 Last Revised: 09 Mar 2022
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 73 (427,641)
Citation 4

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Dynamic General Equilibrium, Rational Expectations, Active Subspaces

14.

Making Carbon Taxation a Generational Win Win

NBER Working Paper No. w25760
Number of pages: 57 Posted: 24 Apr 2019 Last Revised: 21 Nov 2021
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin, Jeffrey D. Sachs and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Columbia University - Columbia Earth Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 32 (603,393)
Citation 4

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15.

Uniformly Self-Justified Equilibria

Number of pages: 25 Posted: 28 Dec 2021
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 26 (641,399)

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Dynamic General Equilibrium, dynamically simple equilibrium

16.

Pareto-Improving Carbon-Risk Taxation

NBER Working Paper No. w26919
Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 20 Jan 2022
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 10 (766,848)
Citation 1

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17.

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

NBER Working Paper No. w29224
Number of pages: 55 Posted: 13 Sep 2021 Last Revised: 30 Apr 2022
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 7 (794,377)
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