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Numerical Methods and MatLab

Objectives

The objective of Numerical Methods and Matlab is to introduce a programming language to solve problems in Economics and Finance. We use Matlab, a programming language with a variety of applications and used in institutions such as central banks and investment banks.

General characterization

Code

2172

Credits

3.5

Responsible teacher

Andre C. Silva

Hours

Weekly - Available soon

Total - Available soon

Teaching language

English

Prerequisites


Bibliography

In addition to class notes and slides, we use the following sources:
*    Attaway, Stormy (2016). Matlab: A Practical Introduction to Programming and Problem Solving, 4th Ed. Butterworth-Heinemann.
*    Moler, Cleve (2004). Numerical Computing with Matlab. Online textbook. To download a PDF of the book, look for the blog of Cleve Moler on the Mathworks website.

We also use material from:
Brandimarte, Paolo (2006). Numerical Methods in Finance and Economics: A Matlab-Based Introduction. New Jersey: Wiley.
Judd, Kenneth (1998). Numerical Methods in Economics. Cambridge, MA: MIT Press.

The books with * are especially relevant for the course. We start from Attaway. We follow Moler for the topics on Numerical Methods. It is also interesting to download the PDF Matlab Primer, available on Mathworks website. Follow it alongside the command window with Matlab open.

Brandimarte and Judd are more advanced books. We use some particular topics. You will find other references and links to material related to the course on Moodle.
Licensing: Mathworks has student licenses available for about the price of a book. You can use this license to download Matlab for your notebook or desktop. You can also find a copy of Matlab at the computer labs of Nova SBE. You can also follow the course using Octave. Octave is a free software that has most of its functions compatible with Matlab.


Teaching method

We have lectures to cover the material. We write programs during the course to solve problems.  We add more complexity to the problems as we go along and work specific tools of Matlab. It is expected that you cover the slides after class in more detail to write additional codes. The practice of writing codes will also be done with problem sets.

Evaluation method

The evaluation is composed of a final exam, problem sets, and class participation. In the final exam, you will have to write a Matlab code to solve a problem.
The problem sets are an important part of the course. You will have to write a program or a function to solve problems using Matlab. The problem sets should be done in groups of two.

We will have five problem sets. I will consider the grades of your best four problem sets. Their due dates are on Moodle. Upload your solutions to the problem sets through Moodle.

The grade of the class participation is based on your participation in class discussions: how you answer questions, which questions you make, how attentive you are and so on. To allow that I take note of your participation, it is important that you show up with your name tag.

Final Exam (scheduled by the department): TBA

The final grade is calculated by 0.7×Final + 0.2×Problem Sets + 0.1×Class Participation.

Subject matter

We first cover the building blocks of programming languages such as working with if statements, for loops, and functions. We then cover numerical problems such as methods to solve equations (root finding), solving systems of linear equations, optimization, and the simulation of random numbers.