Mastering Heterogeneous Agent Models

Numerical Solutions and Applications in Economics and Finance
Erscheinungsjahr 2026
ISBN: 978-3-032-31518-2
Verlag: Springer Nature Switzerland AG

Buch, Englisch, 146 Seiten, Format (B × H): 155 mm x 235 mm

Reihe: Classroom Companion: Economics

This textbook provides a comprehensive and accessible guide to solving heterogeneous agent models in Economics and Finance, building upon representative agent frameworks. Designed for advanced master’s students, Ph.D. candidates, and researchers, it systematically introduces the numerical tools and methods required to solve these models, addressing both idiosyncratic and aggregate risk.

The book is structured in two parts, covering both discrete and continuous time frameworks. Part I focuses on discrete time, introducing foundational concepts such as stochastic optimal control theory and numerical dynamic programming. It covers key computational techniques, including value function iteration, the endogenous gridpoint method, and methods for handling inequality constraints. These tools are then extended to heterogeneous agent models, exploring their mechanics, the law of motion of the agents’ distribution, stationary equilibria, transition dynamics, and aggregate risk. Notable models, such as Huggett (1993), Aiyagari (1994), and Krusell-Smith (1998), are thoroughly examined and solved with step-by-step numerical algorithms and visualizations.

Part II transitions to continuous time, enabling the incorporation of more sophisticated stochastic processes. Topics include dynamic programming in continuous time, diffusion and jump diffusion processes, and the numerical methods—such as finite upwind difference schemes—needed to solve these models.

With a step-by-step approach, this textbook bridges the gap between representative and heterogeneous agent models, providing clear visualizations, numerical algorithms, and solution techniques. Readers will gain not only the computational skills to implement these models but also the insight to select the appropriate framework for their research objectives.

Zielgruppe

Graduate

Autoren/Hrsg.

Brock, Patrick

Schlag, Christian

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie
• Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Geistes- und Sozialwissenschaften
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Part I. Discrete Time.- Chapter 1. Stochastic Optimal Control Problems.- Chapter 2. Dynamic Programming.- Chapter 3. Discrete State Space Methods.- Chapter 4. Value Function Iteration.- Chapter 5. First-Order Methods.- Chapter 6. Endogenous Gridpoint Method.- Chapter 7. Heterogeneous Agent Models.- Part II. Continuous Time.- Chapter 8. From Discrete to Continuous Time.- Chapter 9. Dynamic Programming Approach.- Chapter 10. Diffusion Process.- Chapter 11. Jump-Diffusion Process.- Chapter 12. Heterogeneous Agents in Continuous Time.- Chapter 13. Finite Differences.

Über Autor(innen)

Patrick Brock is a Ph.D. candidate in Finance at Goethe University Frankfurt (Germany). He holds a B.Sc. and M.Sc. in Economics from Humboldt University Berlin, an M.Sc. in Applied Mathematics from the London School of Economics, and an M.Sc. in Quantitative Economics from Goethe University.

Christian Schlag is a professor of Finance at Goethe University Frankfurt (Germany). He earned an M.Sc. in Economics and Business from the University of Augsburg, an M.A. in Economics from Wayne State University, and a Ph.D. in Business from the University of Karlsruhe (now KIT).