Methods of Computational Mathematics

This course elaborates on various aspects of Numerical Analysis and Simulation Theory, which find extensive applications to the area of finance and economics. Its main goal is to develop the basic numerical algorithms and techniques that are needed to cope with the fundamental computational problems of economic theory. These problems are quantified through mathematical modeling and their solutions are studied from analytic and algorithm development through implementation.

The main topics of the course include: Solving Linear and Non-Linear Equations, Function Approximation and Interpolation, Random Numbers Simulation and Monte-Carlo Integration, Finite Difference Methods for PDEs, and Numerical Techniques for Constraint and Unconstraint Optimization.