Italy, Cagliari

Continuous-time Methods for Economics and Finance

when 18 July 2016 - 21 July 2016
language English
duration 1 week
credits 3 ECTS
fee EUR 599

The course provides an introduction to continuous-time methods both in theory and in practice, with special emphasis to applications in economics. It starts with the theoretical foundations of stochastic calculus and then introduces the main numerical techniques applied to relevant examples.

Course leader

Galo Nuño, Banco de España

Target group

The course is mainly aimed at researchers or practitioners in Central Banks, Academia or Invest-
ment Banks. No previous exposure to stochastic calculus is required. Participants should have
basic knowledge of Calculus, Probability and Economics at a Master or 1st year-PhD level. In
addition, participants should have a basic knowledge of programming, especially in Matlab.

Course aim

The aim of this course is to provide an introduction to continuous-time methods both in theory
and in practice, with special emphasis to applications in economics. The course provides the
theoretical foundations of stochastic calculus and then introduces the main numerical techniques
applied to relevant examples.

Fee info

EUR 599: Academics (PhD Students, Post-Docs, Assistant Professors, Associate Professors)
EUR 1199: Central bankers and employees of international organizations and private companies

Scholarships

Scholarships available based on CV of the applicants and for early payments.