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Numerical Methods


Schneider P.

Course director

Sen R.



Programming for Finance I, II, Statistics, Financial Econometrics


This course develops basic numerical quantitative methods. We put emphasis on understanding the theoretical underpinnings, but in particular also the numerical implementation. Common problems encountered in economics and finance will serve as our exercise basis. After having taken the course, students will be able to identify and implement solutions to many applied problems in R.

Description / Program

The course is structured along the following topics.

  • Basic concepts in mathematics: vector spaces and convexity
  • Interpolation – Extrapolation
  • Finite differences
  • Numeric integration, in particular
  • Monte Carlo Simulation
  • Ordinary differential equations
  • Convex optimization

Learning Method / Style of Lessons

Our classes will be split into a theory part, which explains the concepts, and a practice part, where we will apply the theory to commonly encountered problems.

Exam Style

There will be a final exam, taken at the computer, which accounts for 80% of the final grade. Weekly home assignments will account for 20%. 

We will be following closely Numerical Methods in C, which can be consulted voluntarily. All material will be developed and presented during the class and uploaded to icorsi.