Department of Economics 2012-13: Course EC4090, Quantitative Methods, module A Module A covers the mathematics needed for dynamic

economic modelling, with applications. Module B will be delivered by Dr Galstyan and will build on JS Econometrics, EC3090. Coursework for each module will account for ten percent of the assessment, and the annual examination will account for 80 percent. For module A the coursework will consist of a project, to be completed for week 9, in time to be marked and returned before Christmas. There will be one class per week, beginning not later than week 3. Syllabus: Module A, Michaelmas term 1. 2. 3. 4. 5. 6. 7. Differential equations Difference equations. Review of neoclassical equilibrium growth. Dynamic optimization. Applications of dynamic optimization. The overlapping generations model. Continuous-time stochastic processes. Readings For possible purchase: Chiang, Alpha C. and K. Wainwright (2005), Fundamentals of mathematical economics (4th ed.). (New York: McGraw-Hill.) (Topics 1, 2, 4 and 5.) Other: Glaister, Stephen (1984), Mathematical methods for economists (revised ed.). (Oxford: Blackwell.) (Topics 1 and 2.) Intriligator, Michael D. (1971), Mathematical optimization and economic theory. (New York: Prentice Hall.) (Part of topic 1; topics 3, 4 and 5.) Takayama, A. (1994), Analytical methods in economics. (London: Harvester Wheatsheaf). (Topics 1, 4, 5.) Chiang, Alpha C. (1992), Elements of dynamic optimization. (New York: Mcgraw-Hill.) (Topics 4 and 5.) Blanchard, O.J. and S. Fischer (1989), Lectures on macroeconomics. (London: MIT.) (Topic 5 and 6) Hull. J.C. (2003), Options, futures and other derivatives. (London: Prentice Hall.) (Topic 7.) Berck, P. and K. Sydster (1991, 2005), Economists' mathematical manual. (Berlin etc: Springer-Verlag.) Harrison, Michael and Patrick Waldron (2011), Mathematics for economics and finance. (London: Routledge.) R.A. Somerville September 2012

EC4090 Quantitative methods - senior sophisters Additional readings for differential equations Ostaszewski, A. (1990), Advanced mathematical methods. (Cambridge: Cambridge University press.) (The early part of Ch. 21, for Laplace transforms.) Takayama op. cit. is a good source for simultaneous systems. Intriligator's mathematical appendix has a brief section in which transformation of an n-th order equation into a system of first-order equations is demonstrated. Binmore, K.G. (1983, 2001), Calculus. (Cambridge: Cambridge University Press). Ch. 13 for the algebra of operators. Gandolfo, G. (1971, 1980, 1996, 2009), (Mathematical methods and models in) Economic dynamics. (London: North Holland.) Good for applications. Also, the best reference on systems of differential equations. For a review of linear algebra, Anton, H. (1991 etc.), Elementary linear algebra. (Chichester: Wiley). In particular, diagonalization is covered in ch. 6. On repeated eigenvalues: see Searle, S.R. (1982), Matrix algebra useful for statistics. (Chichester: Wiley), p.284.

Also, it may be worth looking at: Takayama, A. (1974, 1985), Mathematical economics. (Cambridge: Cambridge University Press.) The chapter on stability of competitive equilibrium has a useful section on the theory of differential equations. Brock, W.A. and A.G. Malliaris (1989), Differential equations, stability and chaos in dynamic economics. (Amsterdam: North Holland.) Ch 2. (sections 4 & 5) covers linear systems. Ch. 3 is useful for a rigorous coverage of the stability of systems of linear differential equations with constant coefficients.

R. A. Somerville October 2012

Course 4.09: Quantitative Methods Topic 3: neoclassical equilibrium growth Grossman, G.M. and E. Helpman (1991), Innovation and growth in the global economy. (London: MIT.), section 2.1. Takayama, A. (1994), Analytical methods in economics. (London: Harvester Wheatsheaf). Ch. 6.3.3. Dixit, A.K. (1976, 1982), The theory of equilibrium growth . (Oxford; Oxford University Press). Esp. ch. 3. Topics 4: Dynamic optimization and 5: Optimal growth Chiang, A.C. (1992), Elements of dynamic optimization. (New York: McGraw-Hill.) Esp. ch. 7 & 9. Chiang, A.C. and K. Wainwright (2005), Fundamentals of mathematical economics (4th ed.). (New York: McGraw-Hill.) Ch. 20. Blanchard, O.J. and S. Fischer (1989), Lectures on macroeconomics. (London: MIT.) Ch. 2. Barro, R.J. and X. Sala-I-Martin (1995, 1999), Economic growth. (London: MIT Press (originally McGraw-Hill).) Takayama, A. (1994), Analytical methods in economics. (London: Harvester Wheatsheaf). Ch. 10. Somerville, R.A. (2005), 'Insurance, consumption and saving: a dynamic analysis in continuous time', American Economic Review, 94(4), September 2004, pp. 1130-1140. RAS October 2012