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Department of Statistics

IB9JH0 Programming for Quantitative Finance


Restrictions:

Commitment:

  • Lectures: 18 hours.
  • Laboratory sessions: 21 hours.
  • Project supervision: 1 hour.

Content:

At the time of writing, we plan to focus on the C++ programming language. Students will gain in-depth training and practice in R and Python in other core modules of the course.

General Principles

  • Principles of programming, algorithm
  • Common and distinguishing features of different languages - Guide to “Good Practice” in programming
  • Using an Integrated Development Environment (IDE)
  • Different workflow models for application development
  • Testing and “debugging”

Fundamentals of Programming

  • Data types and data structures
  • Constants and variables, namespaces and scope - Program flow control
  • Functions
  • Input/output
  • Exception handling

Object-Oriented Programming

  • Principles: classes, objects, instances - Member functions
  • Inheritance and polymorphism
  • Templates and generic programming - Design principles

Applications in Quantitative Finance

Assessment:

  • Class Test (2x20%)
  • Individual project report (60%)

Illustrative Bibliography:

Lippman, Stanley B., J. Lajoie and B.E. Moo: “C++ Primer” (5th ed.) Addison Wesley, 2015 ISBN-13: 978-0-321-71411-4
Joshi, Mark S.: “C++ Design Patterns and Derivatives Pricing” Cambridge University Press, 2015 ISBN-13: 978-0-521-72162-2