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 * Class 14 (30/5): Tracking distributions. Verification theorems.
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 * [[attachment:sl_absorption.pdf|Tracking absorption]]

Dynamic Methods for Economics and Finance

  • Professor: Leandro Gorno (<leandro.gorno AT fgv DOT br>)

  • Lectures: Wednesdays 10:30-12:30, Thursdays 11-13.

  • Office hours: by appointment.

News

  • 30-May-2019: New hints added for Exercise 2, changes in Exercise 4, and new hint in Exercise 5. The deadline has been extended to Monday June 3rd at 11:00AM.
  • 29-May-2019: New hint added for Exercise 2 in the exam (updated link below).
  • 28-May-2019: The exam is online here.

  • 17-Apr-2019: As discussed last week, class today will start at 10:30am.

Class schedule (tentative)

  • Class 1:(10/4) Course presentation, dynamic programming in discrete time.
  • Class 2:(11/4) Linearization, dynamic programming in continuous time.
  • Class 3 (17/4): More dynamic programming in continuous time. Mathematica basics.
  • Class 4 (24/4): Poisson shocks. More Mathematica.
  • Class 5 (25/4): More Poisson shocks. Introduction to stochastic calculus.
  • Class 6 (2/5): More stochastic calculus. Writing HJBs. Applications.
  • Class 7 (8/5): Geometric BM. Solving a SDE. Pricing simple FX contracts.
  • Class 8 (9/5): ODEs and PDEs in Mathematica.
  • Class 9 (15/5): More on meshes, FEM, and boundary value problems. Optimal stopping.
  • Class 10 (16/5): More optimal stopping. Smoothness, noise, and vanishing viscosity.
  • Class 11 (22/5): More on smoothness and optimal switching.
  • Class 12 (23/5): Even more on smoothness. Adding jumps. Intro to Kolmogorov forward equations.
  • Class 13(29/5): Random walk approximation to BM.
  • Class 14 (30/5): Tracking distributions.
  • Class 15 (5/6): Verification theorems. Application: principal-agent in CT - Sannikov (2008).
  • Class 16 (6/6):
  • Class 17: (12/6):
  • Class 18: (13/6):

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:


CategoryTurmas

MD/DynamicMethods/2019 (last edited 2019-06-05 10:30:36 by LeandroGorno)