This course develops basic numerical quantitative methods. We put emphasis on understanding the theoretical underpinnings, but in particular also the numerical implementation. Basis for our exercises will be common problems in economics and finance. After taking the course, students will be able to identify and implement solutions to many applied problems in R.
Starting from a quick review of programming and algorithms, we will investigate interpolation, numerical integration (including Monte Carlo methods), finite differences, and ordinary differential equations. We will also develop more advanced concepts, including Fourier series, and the Fourier transform, as well as convolution, filtering and sampling.
There will be an equal amount of theory sections and practice sessions. Practice sessions will be based on problems supplied in the theory section, and be held in computer labs, where the students will solve problems under supervision.
There will be a final exam in the computer lab accounting for 100% of the grade.
There is no particular text book used. All material will be developed and presented in class.