Timetable
Tuesdays 18.30-20.30

Course Description
In this hands-on course, you will learn the basics of option pricing and how to compute prices numerically via Monte Carlo techniques and binomial trees. You will build on prior knowledge of C/C++ syntax and object-oriented concepts (classes, encapsulation, inheritance and virtual functions), using the latter to refactor and extend your code. You will also learn how to take advantage of design patterns such as bridge, decorator and factory.

Course Fees
£490

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Entry Requirements
Prior knowledge required: ability to implement object-oriented concepts in C++ at a schoolbook level (professional experience in C++ not required); strong mathematical skills; knowledge of financial engineering is not expected; You are expected to be able to answer these questions before enrolling onto the course: What is the significance of a method being virtual in C++?; What is the distinction between an interface and a class in C++?; What is meant by encapsulation and what support do C++ classes provide to enable it? In particular, what are the various ways the keyword "const" supports encapsulation?; If A is a user-defined class, what different results will be achieved by (i) A a = b; (ii) A a(b); and (iii) A& a(b)?; What is a template and why are they useful in C++ programming?; What are some of the advantages and disadvantages of inheritance in C++?; Explain the difference between passing by value and passing by reference in function arguments and return values. In what circumstances would you use each?; What is the general solution of dy/dx = 1/x?; If g(t) = f(x(t), t), give an expression for g(t) in tems of f and its partial derivatives; what is the probability distribution function of a normal variable with mean 0 and variance 1?; Prove that its integral over the real line is exactly 1; State the Central Limit theorem; If I toss a fair coin three times and get one point for each head and two for each tail, what is the expected value of the product of the three scores?; If X and Y are independent random variables, what can you say about Cov(X,Y)? What bounds does Cov(X,Y) satisfy if X and Y are not independent?

Venue Description
Guidance and advice may be available for all aspects of student life. Facilities/Support are available for students with learning difficulties. Facilities/Support are available for students with restricted mobility.

Course Venue
Northampton Square
Islington
London
EC1V 0HB

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The C++ for Financial Engineers (Credit Bearing) course in the UK information was verified on 01 Oct 2008.

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