- This is a core module for the MSc in Mathematical Finance.
- Not available to undergraduate students.
- Lectures: 18 hours.
- Laboratory sessions: 21 hours.
- Project supervision: 1 hour.
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.
- 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
- Exception handling
- Principles: classes, objects, instances - Member functions
- Inheritance and polymorphism
- Templates and generic programming - Design principles
Applications in Quantitative Finance
- Class Test (2x20%)
- Individual project report (60%)
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