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23525-01 - Lecture: Computational Economics (3 CP)
| Semester | spring semester 2016 |
| Course frequency | Every spring sem. |
| Lecturers | Dietmar Maringer (dietmar.maringer@unibas.ch, Assessor) |
| Content | Many fields in business and economics make heavy use of quantitative concepts and methods. This is particularly true for financial economics: areas such as risk management, portfolio optimization, pricing, etc., have numerous quantitative models on offer that provide valuable insights and support decision makers. Not surprisingly, "computational finance" has gained substantial importance, and computational methods are now often considered to be key for dealing with the relevant tasks. This is also true for many other areas in economics. This course addresses such computational methods. By looking at relevant real-world problems (mainly from finance, but also other areas in business and economics), we will look at (numerical) optimization and simulation methods. The latter his its main focus on Monte Carlo simulation methods and covers sampling, path generation, modelling uncertainty and risk, evaluating simulations, etc. Methods covered in the numerical optimization part range from traditional deterministic search and optimization methods (e.g., gradient based methods, simplex-based methods) to innovative methods (e.g., heuristic optimization, evolutionary methods, methods from computational intelligence). To deepen the participants' understanding of these methods, their practical application and their up- and downsides, the course is very much hands-on, allowing for numerous own implementations and computer experiments. No prior programming experience is required; programming skills will be gathered in a "learning by doing" fashion. |
| Learning objectives | Learning Goals: Successful participants should be familiar with 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. |
| Bibliography | 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 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, 2011 Glasserman, P. Monte Carlo Methods in Financial Engineering, Springer, 2004 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 Brabazon, A.; O'Neill, M. & McGarraghy, S. Natural Computing Algorithms, Springer, 2015 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 Additional literature to be announced during the course. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: Completed Bachelor in Business and Economics |
| Course application | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Statistics and Computational Science Module (Master Actuarial Science) Vertiefungsmodul Quantitative Methods (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | active participation in the lectures + final exam written exam: 12.04.2016; 14:15-15:45, S15+S14. You can still withdraw from the examination by submitting a completed, signed form to our office from 22.03.16 until 01.04.16 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 21.03.16, please only use MONA for withdrawing. The exam rooms will be published up to 27.05.16. |
| Assessment registration/deregistration | Registration: course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |