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C++ for Finance

The School organises an intensive two day module on C++ for Finance for all MSc students. The course introduced students to numerical methods in Finance implemented in C++, one of the most popular programming languages.

It covers a range of numerical methods in Finance, implemented in C++. The part starts from scratch and assumes no prior knowledge. It covers control structures, arrays, pointers etc. and goes all the way to object oriented programming.

The numerical methods part focuses on popular methods in Finance: Monte Carlo, trees and PDE grids.

Visiting Professor Ammar Kherraz, a well-known practitioner in the finance industry, delivers the course.

"C++ for Finance provides a hands-on experience in C++ programming for implementing computational techniques of quantitative finance. C++ is taught from scratch. Good practice in the use of C++ and key concepts around object orientation and memory management are taught. C++ is a very powerful programming language, widely used in the industry in writing quantitative modelling libraries e.g. for bank trading desks.

One key focus of this course is practicality and relevance to the industry. Selected pricing and risk management problems that are pertinent to today’s' practice of financial derivatives modelling are gone through. Areas that typically come in up quantitative interview questions are flagged up to the students.
Professor Ammar Kherraz

C++ for Finance is one of several additional short courses offered to postgraduate students by the School of Economics and Finance at Queen Mary University of London.

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