Introduction to numerical methods using MATLAB

ECS550NFB Introduction to numerical methods using MATLAB

  • Topics

    Topics

    Introduction to MATLAB programming;

    Basics of numerical methods;

    Selected topics within the areas of optimization, macroeconomics, econometrics and finance.

     

    The schedule is (tentative):

    Monday: (Essentials) Introduction to MATLAB, Introduction to Coding Standards, Basics of Numerical Methods: Number Representation, Function Approximation, Solving Non-linear equations.

    Tuesday: (Numerical methods) Convex Optimization - Constrained / Unconstrained optimization, Linear Programming, Globally Convergent Optimization Methods

    Wednesday: (Macroeconomics) Newton Raphson method, Numerical Integration, Deterministic Dynamic Programming, Introduction to Dynare (software platform for handling DSGE and OLG economic models)

    Thursday: (Econometrics) Monte Carlo, Bootstrapping and Subsampling, Simulation based Inference, Cross-validation, Non-parametric Estimation

    Friday: (Finance) Introduction to Derivatives' pricing.

  • Learning outcome

    Learning outcome

    This course will introduce PhD students to a broad class of computational techniques to handle various numerical modelling challenges within macroeconomics, econometrics and finance. Numerous examples will be presented along the way. The focus is on understanding the methods as well as their practical implementation.

     

    After successfully completing the course, students should be familiar with high-level programming in MATLAB and have a solid overview of the main numerical methods used in economics and finance. The student should also have become acquainted with a broad portfolio of useful numerical methods and have an understanding of their scope and limitations.

  • Teaching

    Teaching

    Intensive lectures and problem classes

  • Restricted access

    Restricted access

    Enrollment to this course is limited to 35 students due to pedagogical methods.

  • Required prerequisites

    Required prerequisites

    Students should be familiar with intermediate level calculus, introductory statistics and basic econometrics.

  • Requirements for course approval

    Requirements for course approval

    None

  • Assessment

    Assessment

    5 ECTS will be awarded to participants with good performance in all four assignments. Deadline for the submission is 30 days after the end of the course. Candidates will be awarded PASS/FAIL grade.

  • Grading Scale

    Grading Scale

    Grading: Pass / fail

  • Computer tools

    Computer tools

    Participants must ensure to have MATLAB installed on their laptops prior to the beginning of the course, together with the Optimization and Statistical toolbox. Shareware 30days student version may be downloaded on the Mathworks website. NHH PhD scholars may contact the IT administrator to get their copies of MATLAB.

  • Semester

    Semester

    Spring 2017 (January 9-13, 2017)

  • Literature

    Literature

    Selected chapters of

    • Brandimarte, Paolo (2013) Numerical methods in finance and economics: a MATLAB-based introduction (New York: John Wiley);
    • Judd, Kenneth (1998) Numerical methods in economics (Cambridge: MIT Press);
    • Fackler, Paul (2002) Applied computational economics and finance (Cambridge: MIT Press).

Overview

ECTS Credits
5
Teaching language
English.
Semester
Spring

Course responsible

Lukas Laffers (Matej Bel University, Slovakia), visiting Department of Economics, NHH.