Dynamical Systems in Finance

2026/2027

Lecture notes: Version of October 14th, 2026

Course material


Coures Diary

  1. Lecture 1 (Oct 6th)
    Introduction. Discrete dynamical systems. Autonomous and non autonomous case. Cycles. Simple examples, both 1D and 2D. Relation between dimensionality and order of the system.
  2. Lecture 2 (Oct 7th)
    Solution formula for the linear 1D case: homogeneous and non-homogeneous case. Example of amortization. Exercises. Equilibrium points. Examples of equilibrium points.
  3. Lecture 3 (Oct 13th)
    Definitions of stability, asymptotic stability, global stability. Conditions for stability for a linear 1D fisrt-order equation. Cobweb diagram. Linearization criterion for the 1D case. Cobweb diagram with GeoGebra.
  4. Lecture 4 (Oct 14th)
    Stability criterion: the case of derivative equal to 1 or -1. Examples. Cobweb Theorem of Economics. Models with expected price.
  5. Lecture 5 (Oct 20th)
    Linear discrete dynamical systems. Conditions for equilibrium. Determinant of a matrix. Eigenvalues of a matrix. Spectral radius. Stability criterion for linear systems.
  6. Lecture 6 (Oct 21st)
    Jury's criterion in dimensions 2 and 3. Examples. Jacobian matrix. Linearization theorem and idea of the proof. Exercises from the written tests.