Numerical Methods in Finance and Economics

MET515 Numerical Methods in Finance and Economics

  • Topics

    Topics

    Part I: elementary problems on Rn (differentiation, root-finding, optimization, approximation, integration).

    Part II: functional problems (value function iteration on a discrete grid, finite elements methods, and Chebychev collocation, perturbation methods, linear quadratic methods, Euler equation methods, incl partial differential equations).

  • Learning outcome

    Learning outcome

    This is a course in the basic tools of numerical analysis that can be used to address analytically intractable problems in finance, economics and econometrics. A large class of problems cannot be analyzed with analytical tools, and numerical methods are increasingly expanding the questions we can address.

    Numerical methods are vital to all types of applied economic research. The generality with which the techniques will be presented in this course will make them applicable to a wide range of fields, including asset pricing, corporate finance, macroeconomics, game theory, public finance, development economics, international economics, contract theory and econometrics.

    In order to teach students how to use computational tools in an informed and intelligent way, this course endeavors to explain not only when and how to use various numerical algorithms but also how and why they work; in other words, the course opens up the "black boxes¿ and provides the students with a versatile toolbox.

  • Teaching

    Teaching

    Not offered regularly - please contact course supervisor.

    Normally offered in spring semester

  • Requirements for course approval

    Requirements for course approval

    One problem set per 2x2h lectures.

  • Assessment

    Assessment

    A project with grading pass/fail.

  • Grading Scale

    Grading Scale

    Grading scale A - F

  • Computer tools

    Computer tools

    Matlab / C(++) / Fortran

  • Semester

    Semester

     

  • Literature

    Literature

    Numerical Recipes 3rd Edition: The Art of Scientific Computing

     

    Recommended reading

    "Numerical Methods in Economics¿ by Kenneth L. Judd

    "Numerical Methods in Finance: A MATLAB-Based Introduction¿ by Paolo Brandimarte

Overview

ECTS Credits
5
Teaching language
English
Semester
Spring

Course responsible

Espen Henriksen, Department of Business and Management Science