Dynamic Methods for Economics and Finance

News

Class schedule (tentative)

Syllabus

Slides

Additional material

Additional material

Mathematica notebooks

References

Primary: Dixit, A.K. and Pindyck R.S. "Inverstment under uncertainty", Princeton University Press (1994)

Secondary: Harrison, J.M. "Brownian Models of Performance and Control" Link to Stanford GSB page (Note: this book is a new edition of the older classic "Brownian Motion and Stochastic Flow Systems" (1985) Link to Google books, which used to be online)

Pham, H. "Continuous-time Stochastic Control and Optimization with Financial Applications" Link to Springer

Cvitanic, J. and Zhang, J. "Contract Theory in Continuous-Time Models" Link to Springer

Related papers:


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MD/DynamicMethods/2019 (last edited 2019-05-22 13:11:18 by LeandroGorno)