Applied Intertemporal Optimization

 

Lecture 1st year

Graduate School of Economics, Finance and Management (GSEFM)

Lecturer: Klaus Wälde

Problem Sets: Felix Haas

Organizational issues

The course "Mathematical Methods" covers topology and probability theory in part 1 and difference and differential equations and dynamic optimization in part 2. Lectures for part 2 take place on Mondays from 10:15 to 11:45 and 12:30 to 14:00, in room HZ 14 on Campus Westend, on the following dates:

December 8 and 15

January 12, 19 and 26

February 2 and 9

All material for part 2 is based on the textbook "Applied intertemporal optimization". It can be downloaded from http://www.waelde.com/pdf/AIO.pdf. There will be lectures only and no tutorials. Some problem sets will be announced during the lectures. Solutions to problem sets will be made available.

The date and place of the final exam will be announced. It will take 60 minutes and covers part 2 only. The exam requires students to answer 2 out of 3 questions. The exam is an open-book exam.

Contents

Deterministic worlds

Dynamic optimization: ch. 3.3 and po 3.4
Differential equations: ch. 4.1, po 4.2, po 4.3, po 4.4
Dynamic optimization: 5.1, 5.3, 5.4, 5.5 and po 5.6. ch 6.1 and 6.2

Stochastic worlds

Stochastic difference equations: ch. 7.4.1
Dynamic optimization: ch. 8.1, po ch. 9.1, 9.2 and po 9.5
Stochastic differential equations: ch.10.1, 10.2, 10.3, 10.4, 10.5
Dynamic optimization: ch.11.1, 11.2, 11.3 and 11.5

* Problem sets will be announced in the lecture.

Below you find old exams of previous years.

* Final Exam (Fire alarm)

* Final Exam

* Repeat Exam

For all questions concerning the lecture, please contact Klaus Wälde

For all questions concerning problem sets, please contact Felix Haas.