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Every fall semester
Introduction to large scale-system design to support computational finance for options, stocks, or other instruments.
Topics include: basic constructs of the C++ language, data input and output, the concepts of inheritance, polymorphism, templates, and an introduction to design patterns through examples in derivative pricing if time permits. The course is taught at the level of Accelerated C++ by Kendal and Moo.
Exercises and projects should preview, reinforce, or review topics considered in other QCF courses. In particular, students should be exposed to the following topics: the Black-Scholes formulas, tree methods for pricing financial derivatives, the Monte Carlo method for pricing financial derivatives, applications to path dependent options, and other related topics.