Applied Intertemporal Optimization

318 Pages Posted: 23 Feb 2010

See all articles by Klaus Wälde

Klaus Wälde

University of Mainz; CESifo (Center for Economic Studies and Ifo Institute); UCL at Louvain la Neuve

Date Written: October 16, 2009

Abstract

This textbook provides all tools required to easily solve intertemporal optimization problems in economics, finance, business administration and related disciplines. The focus of this textbook is on 'learning through examples' and gives a very quick access to all methods required by an undergraduate student, a PhD student and an experienced researcher who wants to explore new fields or confirm existing knowledge. Given that discrete and continuous time problems are given equal attention, insights gained in one area can be used for learning solutions methods more quickly in other contexts. This step-by-step approach is especially useful for the transition from deterministic to stochastic worlds. When it comes to stochastic methods in continuous time, the applied focus of this book is the most useful. Formulating and solving problems under continuous time uncertainty has never been explained in such a non-technical and highly accessible way.

Keywords: Intertemporal optimization, maximization, discrete time, continuous time, certainty, uncertainty, inserting, Lagrange; Hamiltonian, Dynamic Programming; Bellman equation, Ito's Lemma, Brownian motion, Poisson process, natural volatility

JEL Classification: A22, A23, C02, C61, C65, D, E, G, J6

Suggested Citation

Wälde, Klaus, Applied Intertemporal Optimization (October 16, 2009). Available at SSRN: https://ssrn.com/abstract=1547776 or http://dx.doi.org/10.2139/ssrn.1547776

Klaus Wälde (Contact Author)

University of Mainz ( email )

Mainz School of Management and Economics
Mainz, 55128
Germany
+49 6131 3920143 (Phone)

HOME PAGE: http://www.waelde.com

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

UCL at Louvain la Neuve

Place Montesquieu, 3
Louvain-la-Neuve, 1348
Belgium

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