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23525-01 - Vorlesung: Computational Economics 3 KP

Semester Frühjahrsemester 2021
Angebotsmuster Jedes Frühjahrsem.
Dozierende Dietmar Maringer (dietmar.maringer@unibas.ch, BeurteilerIn)
Inhalt Many fields in business and economics make heavy use of quantitative concepts and methods. By looking at relevant problems from business, economics, and finance, we cover (numerical) optimization and simulation methods. The latter its main focus on Monte Carlo simulation methods and covers sampling, path generation, modelling uncertainty and risk, and evaluating simulations. For numerical optimization, the focus is on deterministic methods (gradient-based, simplex-based, algorithmic) for variety of problems, with and without constraints.

To deepen the participants' understanding of these methods, their practical application, their strengths and limitations, the course is very much hands-on, allowing for numerous own implementations and experiments.
Lernziele Successful participants will be familiar with fundamental numerical methods, necessary to approach and solve quantitative problems in economics and business. Also, they will acquire programming skills to implement economic / management models and the necessary methods.
Literatur Lecture material will be provided. There is no designated textbook, but to get a flavor of the topics or to deepen their knowledge, (prospective) participants might find the following books (in alphabetical order) helpful:

*) Miranda, M. J. & Fackler, P. L. Applied Computational Economics and Finance The MIT Press, 2002

*) Brandimarte, P. Handbook in Monte Carlo Simulation. Applications in Financial Engineering, Risk Management, and Economics Wiley, 2014

*) Brandimarte, P. Numerical Methods in Finance and Economics, Wiley-Interscience, 2006

*) Gilli, M.; Maringer, D. & Schumann, E. Numerical Methods and Optimization in Finance, Academic Press, 2nd edition 2019. (or 1st ed., 2011)
*) Kroese, D. P.; Taimre, T. & Botev, Z. I. Handbook of Monte Carlo Methods Wiley, 2011

*) Michalewicz, Z. & Fogel, D. B. How to Solve It: Modern Heuristics, Springer, 2005

*) Jones, O.; Maillardet, R. & Robinson, A. Introduction to Scientific Programming and Simulation Using R, CRC Press, 2009

*) Langtangen, H. P. A Primer on Scientific Programming Using Python Springer, 2014

Specific recommendations and additional literature to be announced during the course.
Bemerkungen Throughout the course, we will use Python to implement methods and concepts. Prior programming skill help, but are not required; material and references will be provided for those new to Python.
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Teilnahmebedingungen Completed Bachelor in Business and Economics
Anmeldung zur Lehrveranstaltung Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien Online-Veranstaltung


Intervall wöchentlich
Datum 05.03.2021 – 16.04.2021
Zeit Freitag, 10.15-14.00 - Online Präsenz -

The course will be taught online at the dates you can see below:

Datum Zeit Raum
Freitag 05.03.2021 10.15-14.00 Uhr - Online Präsenz -, --
Freitag 12.03.2021 10.15-14.00 Uhr - Online Präsenz -, --
Freitag 19.03.2021 10.15-14.00 Uhr - Online Präsenz -, --
Freitag 26.03.2021 10.15-14.00 Uhr - Online Präsenz -, --
Freitag 02.04.2021 10.15-14.00 Uhr Ostern
Freitag 09.04.2021 10.15-14.00 Uhr - Online Präsenz -, --
Freitag 16.04.2021 10.15-14.00 Uhr - Online Präsenz -, --
Module Modul: Interdisziplinäres und Wissenstransfer (Masterstudium: Actuarial Science)
Modul: Risiko-Analyse (Masterstudium: Actuarial Science)
Modul: Schadenversicherung (Masterstudium: Actuarial Science)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften)
Leistungsüberprüfung Semesterendprüfung
Hinweise zur Leistungsüberprüfung Combination of active participation, assignment(s) and final exam.
Details tba.
An-/Abmeldung zur Leistungsüberprüfung Belegen via MOnA innerhalb der Belegfrist
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ