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23525-01 - Lecture: Computational Economics (3 CP)
| Semester | spring semester 2021 |
| 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. 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. |
| Learning objectives | 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. |
| Bibliography | 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. |
| Comments | 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. |
| Weblink | Weblink |
| Admission requirements | Completed Bachelor in Business and Economics |
| Course application | 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! |
| Language of instruction | English |
| Use of digital media | Online course |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Friday | 10.15-14.00 | - Online Präsenz - |
| Comments | The course will be taught online at the dates you can see below: |
Dates
| Date | Time | Room |
|---|---|---|
| Friday 05.03.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Friday 12.03.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Friday 19.03.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Friday 26.03.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Friday 02.04.2021 | 10.15-14.00 | Ostern |
| Friday 09.04.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Friday 16.04.2021 | 10.15-14.00 | - Online Präsenz -, -- |
| Modules |
Module: Interdisciplinary and Transfer of Knowledge (Master's Studies: Actuarial Science) Module: Non-Life Insurance (Master's Studies: Actuarial Science) Module: Risk Analysis (Master's Studies: Actuarial Science) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) Specialization Module: Quantitative Methods (Master's Studies: Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | Combination of active participation, assignment(s) and final exam. written exam: 30.04.21; 10:15-11:00; electronic exam. |
| 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 |