Stockholm university
Department of Economics

Continuous-time macroeconomics and finance EC38044, spring 2026

This is an optional course in the PhD programme in Economics, given at Stockholm University in collaboration with CeMoF.

 

Course information

This is a 5 credit course.

The course is organized in collaboration with CeMoF.

Course material will be available on the learning platform Athena.

Course description

Continuous-time methods are increasingly applied in Macroeconomics and Finance due to its elegance, its relative easiness to derive analytical results, and its ability to take advantage of existing computational methods in Applied Mathematics. Nevertheless, technical hurdles prevents its usage from a wider audience. The course will thus be partly methodological, and partly about essence, with the objective of being accessible to graduate students in Economics and Finance.

The first part of the course deals with heterogeneous-agent models in a continuous-time setting, and the second part martingale theory of asset pricing with general equilibrium applications. Mathematical background and computational methods are introduced along the way.

Syllabus

EC38044_syllabus_2026 (134 Kb)

Course director

Jinglun Yao

Last updated: October 17, 2025

Source: Department of Economics

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Last updated: September 9, 2025

Source: Department of Economics

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