The physics of transition metal oxides (TMOs) is shaped by the interplay between strong electronic correlations, spin-orbit interaction, directional anisotropy and doping, leading to a playground for exotic physical phenomenons. The fast development of ab-initio computational methods contributes to our fundamental understanding of TMOs and boosts the research aiming at functional materials design. However, more advanced computational themes, which are beyond the current density-functional theory (DFT), are needed to describe electrons in strongly correlated materials where the one-electron description breaks down. This thesis firstly reviews the state-of-the-art ab-initio computational methods: from DFT to tight-binding (TB) to dynamical mean field theory (DMFT). To demonstrate the importance of correlation effects in the prototypical correlated metal SrRuO 3 , we study its electronic, magnetic and topological properties in the bulk, thin films and heterostructures using DFT+DMFT method. The advantages of DMFT are illustrated for SrRuO 3 thin films where correlation effects play a dominant role: the interplay between correlations and the confinement of the electrons in a heterostructures dramatically modifies the electronic structure. Further more, we apply DFT(+U ) and DMFT methods to a large variety of other strongly correlated materials, including BaXO 3 :BaTiO 3 superlattices (X=Os, Ru, Ir), V 2 O 3 surfaces, double pervoskite Sr 2 CrMoO 6 and ferromagnetic La (1¿x) Sr x MnO 3 surface and thin films. Our theoretical results are compared with experimental observations.