Financial Computing with C++ II (2019-2020)

2019-2020
Lecturer(s): 
Prof. Dmitry Kramkov
Course Term: 
Hilary
Course Overview: 

The goal of this course is to refresh and expand knowledge of several important topics of the MSc, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized around a project for the design and implementation of a powerful C++ library for pricing of derivative securities. The students will learn important principles of implementation of financial models and master algorithms of evaluation of di fferent types of derivative securities: European, American, standard, barrier and path dependent options on stocks and interest rates. The course will be organised in 8 three-hour sessions. All course materials will be supplied.