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Haverford College
Department of Economics

Econ 365 Computational Methods in Economics and Finance

Indradeep Ghosh, Assistant Professor of Economics [ighosh@haverford.edu]

This course introduces numerical methods commonly used in the fields of macroeconomics and finance. It introduces computational and progamming techniques that can be used to solve finite-dimensional optimization problems. Such problems commonly arise in economics-how much to spend as opposed to save; in finance-how to distribute the saved amount across different assets.

Lecture Notes
PDF Notes 1: Introduction PDF Notes 5 PDF Notes 9
PDF Notes 2 PDF Notes 6 PDF Notes 10
PDF Notes 3 PDF Notes 7 PDF Notes 11
PDF Notes 4 PDF Notes 8

PDF Notes 12

PDF Notes 12 Addendum

 

Problem Sets and Solutions
Problem Set 1

Problem Set 1 Solution for Questions I & II

Problem Set 1 Solution for Question III

Problem Set 2 Problem Set 2 Solution
Problem Set 3 Problem Set 3 Solution
Problem Set 4 Problem Set 4 Solution
Problem Set 5 Problem Set 5 Solution

 

Miscellaneous Readings
Note on Taylor's Theorem
Note on Envelope Theorem
Note on Dynamic Programming (DP) Theory
Note on Stochastic Dynamic Programming Theory
Note on Markov Chains
  • MATLAB Program Files:

GDP Growth Example

Markov Example

PDF 12 Growth Example

PDF 12 Getting Started

Simulate Markov

Note on Asset Pricing