Continuous-time Methods for Economics and Finance

label Diverse autorenew 2025-09-29, 17:02 history_edu Maria Dumitru
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 Nuo, Banco de Espaa

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 havebasic knowledge of Calculus, Probability and Economics at a Master or 1st year-PhD level. Inaddition, 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 theoryand in practice, with special emphasis to applications in economics. The course provides thetheoretical foundations of stochastic calculus and then introduces the main numerical techniquesapplied to relevant examples.

Fee info
EUR 449: Academics (PhD Students, Post-Docs, Assistant Professors, Associate Professors) EUR 999: Central bankers and employees of international organizations and private companies

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

University of Cagliari
Address: Economics, Via Is Maglias 196, Faculty of Engineering and Architecture of the University of Cagliari, Cagliari, Italy
Postal code: 09122
City: Cagliari
Country: Italy
Website: http://www.summer-school-computational-economics-2015.it/
E-mail: amoro@unica.it
Phone: +390706753341