Introduction to Numerical Analysis
Interpolation using polynomials, splines; integration methods (Gauss, Chebyshev, Romberg). Systems of non-linear equations. Numerical methods in ODE: Runge-Kutta, multi-step methods, convergence and stability. Numerical methods in PDEs (parabolic, elliptical and hyperbolic): finite differences and finite elements.
Basic Information
Workload
60 hours
Requirements
Numerical Linear Algebra, Ordinary Differential Equations (ODE)
Mandatory:
- Dahlquist, G & Bjorck, A. Numerical Methods, Dover, 2003.
- Faires, J. Douglas, Burden, Richard L. Numerical Analysis. Cengage, 2008.
- Brandimarte, Paolo. Numerical methods in finance and economics: a MATLAB-based introduction. Wiley-Interscience, 2006.
Complementary:
- Golub, G. H. & Ortega, J. M. Scientific Computing and Differential Equations: An Introduction to Numerical Methods. Academic Press, 1991.
- Strang, G. Linear Algebra and Its Applications. Brooks and Cole.
- Miranda, Mario J. Applied computational economics and finance. MIT Press, 2002.
- Judd, Kenneth L. Numerical methods in economics. MIT Press, 1998. Datta, Biswa Nath. Numerical linear algebra and applications. SIAM, 2010.