Design and Implementation of Systems to Support Computational Finance

Department: 
MATH
Course Number: 
6767
Hours - Lecture: 
3
Hours - Lab: 
0
Hours - Recitation: 
0
Hours - Total Credit: 
3
Typical Scheduling: 
Every fall semester

Introduction to large scale-system design to support computational finance for options, stocks, or other instruments.

Prerequisites: 

MATH XXXX

Course Text: 

No text

Topic Outline: 

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.