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Economics and Finance
| Computational Methods for Finance (Graduate) |
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Computational finance is an interdisciplinary subject of probability theory, finance, and numerical analysis. The emphasis of this course is on computational methods and mathematical models for various derivative pricing and risk management problems. Standard as well as exotic derivatives on equities, indices, and interest rate will be introduced; different computational methods are used for their pricing and hedging.
Professor Name: Tibor Janosi
Department: Computer Science
University: Cornell University
Submitted: Aug 23, 2007
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| Advanced Macroeconomics I |
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This course website if for graduate class for first-year PhD students. It includes links to lecture notes, practice problems, MATLAB computer programs and problem sets. Language: English
Submitted: Mar 06, 2008
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| Computer Programs for Escape Dynamics |
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This site contains a set of MATLAB programs to simulate the escape dynamics described in `The Conquest of American Inflation' (Princeton University Press, 1999). The programs are very useful for promoting intuition about the random events and endogenous forces that promote the escape from Nash to Ramsey inflation.
Professor Name: Thomas J Sargent
Department: Economics
University: Stanford University
Submitted: Aug 23, 2007
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| Monte Carlo Simulations using MATLAB |
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| Description: |
This set of files shows some of the principles of Monte Carlo simulations, as applied in the financial industry.
The slides are in French and a copy in English is also available. |
| Target audience: |
Advanced undergraduate (3rd or 4th year) |
| Academic institution: |
N/A |
| Materials available: |
Downloadable code/data files |
| Products: |
Financial Toolbox,Optimization Toolbox,Statistics Toolbox |
Submitted: Jul 09, 2008
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| Computational Economics |
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| Description: |
This course studies computational approaches for solving economic models. We formulate economic problems in computationally tractable forms, and use numerical analysis techniques to solve them. We will study examples of computational techniques in the current economic literature as well as discuss areas of economic analysis where numerical analysis may be useful in future research of dynamic economic problems. The substantive applications will cover a wide range of problems including public finance, macroeconomics, game theory, mechanism design, finance, industrial organization, agricultural economics, and econometrics.
Course material created by Dr. Kenneth L. Judd. |
| Target audience: |
Advanced undergraduate (3rd or 4th year) |
| Institution: |
Stanford University |
| Materials available: |
Problem sets or projects, Course outline or syllabus |
| Products: |
MATLAB |
Submitted: Aug 06, 2008
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| Computational Methods in Economics |
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| Description: |
Fundamental methods for formulating and solving economic models will be developed. Emphasis will be on defining the mathematical structure of problems and on practical computer methods for obtaining model solutions. Major topics will include solution of systems of equations, complementarity relationships and optimization. Both finite and infinite dimensional problems will be addressed, the latter through the use of finite dimensional approximation techniques. Particular emphasis will be placed on solving dynamic optimization and equilibrium problems. Applications will be drawn from finance, agricultural and resource economics, macroeconomics and econometrics.
Course material created by Professor Paul L. Fackler. |
| Target audience: |
Graduate |
| Institution: |
North Carolina State University |
| Materials available: |
Problem sets or projects, Course outline or syllabus, Textbook recommendations |
| Products: |
MATLAB |
Submitted: Aug 06, 2008
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| Econometrics |
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| Description: |
This course introduces the econometric analysis of conditional models, focusing on the use of least squares and related methods for estimating conditional expectations, and on linear instrumental variables methods for estimating linear causal relationships.
Course material created by Professor Keisuke Hirano. |
| Target audience: |
Graduate |
| Institution: |
University of Arizona |
| Materials available: |
Problem sets or projects, Course outline or syllabus |
| Products: |
MATLAB |
Submitted: Aug 06, 2008
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| Applied Numerical Methods in Economics |
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| Description: |
This course focuses on endowing students with the knowledge of a set of numerical techniques commonly used to solve the mathematical problems that typically arise in economic problems. Topics covered include systems of linear equations, non-linear equations, finite dimensional optimization, numerical integration, numerical differentiation, initial value problems, and interpolation.
Course material created by Professor P. Marcelo Oviedo. |
| Target audience: |
Graduate |
| Institution: |
Iowa State University |
| Materials available: |
Problem sets or projects, Course outline or syllabus, Textbook recommendations |
| Products: |
MATLAB |
Submitted: Jul 30, 2008
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