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.
For all questions concerning the lecture, please contact Klaus Wälde.
For all questions concerning problem sets, please contact Felix Haas.