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> Certificate in C++ for Quantitative Finance
Classroom programme or live distance learning
“This course is a practical in...
> Certificate in C++ for Quantitative Finance
Software development in C++ is one of the key technologies employed by globa...
Course Syllabus
Variables, Types and Expressions
o Identifiers
o Data types
o Declarations
o Constants and enumerations
o ...
For further details on the Certificate in
C++ for Quantitative Finance - classroom
or live distance learning - please cont...
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C plus plus_for_quantitative_finance

  1. 1. > Certificate in C++ for Quantitative Finance Classroom programme or live distance learning “This course is a practical introduction to programming focused on financial applications…designed to build up libraries of code used in many applications…teaching is conducted by an expert who can pass on valuable advice…a "must" for Quants to develop an understanding of the C++ language.” Peter Sime MA(Oxon); MSc(Lon) Wachovia Bank NA
  2. 2. > Certificate in C++ for Quantitative Finance Software development in C++ is one of the key technologies employed by global financial institutions, particularly due to its support of object-oriented programming. This has resulted in a minimum requirement for all quantitative professionals to have a solid core background in C++ modelling. The C++ Certificate is a self-contained course taking delegates from simple programming examples straight up to basic object-oriented applications, with real-world examples from the quantitative finance arena to illustrate the powerful nature of this language. The course assumes no previous knowledge of C/C++, although familiarity with basic high-level language programming concepts is considered an advantage. The course will develop problem-solving skills using C++ together with numerical analysis and quantitative finance. All relevant models for derivative pricing will be presented along with the appropriate numerical techniques required, to reduce problems to algorithmic form, from which writing code and obtaining computational solutions becomes a straightforward task. Your Questions Answered Is this course suitable for me? The Certificate in C++ attracts individuals from a cross section of roles and backgrounds. If you work in the financial markets (or are hoping to gain employment in this sector) and are interested in applying C++ to model problems in quantitative finance, derivative pricing in particular, then you should definitely consider this course. Equally, if you have previously learned basic C++ but are now a little rusty or have not had the opportunity to apply the language, this programme will be suitable. Do I need prior knowledge of programming or the C++ language to enrol on the programme? No prior knowledge is necessary. The Certificate programme assumes no previous knowledge of the C++ language and starts at a very basic level with simple programming examples. How practical are the classes? C++ classes are extremely practical. An application based ethos is the underlying feature of the course and delegates are encouraged to start developing code from the outset. Will I be required to complete assessments or tests? Yes. You will be given weekly assessments which you will be expected to complete to a certain standard. Upon successful completion of all assessments you will be awarded the Certificate in C++. What support will I receive throughout the programme? During the Certificate programme you will have continual access to your tutor outside the classroom sessions, either via phone, e-mail or 1-2-1 tutorials held at the 7city training centre. What knowledge will I have by the end of the course? After ten classroom sessions, you will leave the programme with a sound practical knowledge of programming in the C++ language. You will also have learned about the computational methods used for the pricing of derivatives, i.e. Finite Difference Method and Monte Carlo Technique. Do I need my own computer to participate in the programme? You will be required to bring a laptop, with MS Visual Studio .Net installed, to each classroom session. What happens if I am called away on business and miss a class? All classroom sessions are recorded. You will have continual access to these via your 7C-Online account and therefore will be able to access missed classes at a time convenient to you. Does choosing the distance learning option put me at a disadvantage? Distance-learning delegates conference into the C++ lectures and participate alongside classroom delegates. The course lecturer maintains a two-way dialogue to ensure questions are addressed throughout the session. Therefore, you are able to have the same level of interaction with the tutor and will be able to see and hear the lecturer, lecture notes and hand-written annotations. You will also receive the same level of outside class study support. "The C++ course taught me how to implement several important quantitative techniques. Turning the formulas into C++ code really gave me a solid understanding of the concepts.” Christopher Grune C++ delegate
  3. 3. Course Syllabus Variables, Types and Expressions o Identifiers o Data types o Declarations o Constants and enumerations o Assignment and expressions Branch and Loop Statements o Boolean values o 'For', 'While' and 'Do....While' loops o Multiple selection and switch statements o Blocks and scoping Functions and Procedural Abstraction o User-defined functions o Value and reference parameters o Polymorphism and overloading o Procedural abstraction and good programming style o Splitting programs into different files Files and Streams o Input and output using files and streams o Streams as arguments to functions o Input and output using '<' and '>' Arrays and Strings o Declaring arrays and strings o Arrays as parameters o Sorting arrays o Multi-dimensional arrays o String manipulation Pointers o Declaring pointers o The '*', '&', 'new' and 'delete' operators o Pointer arithmetic o Automatic and dynamic variables Classes o The object-oriented paradigm o Encapsulation and inheritance in C++ o Constructors, friends and overloaded operators o Function Templates Numerical Methods o Approximating a PDF/CDF of linear systems o Direct methods of solution and iterative techniques o Numerical integration o Power method o Explicit and implicit finite difference methods for parabolic PDEs o Monte Carlo method Quantitative Finance o Pricing of European, American, Exotic and Basket Options o Interest rates and products o Volatility modelling o Multi-asset options Excel Add-ins Course Director: Dr Riaz Ahmad Dr Riaz Ahmad received advanced degrees in mathematics from University College London and Imperial College London. He has held academic positions at Imperial College, Lahore University of Management Sciences (LUMS), Pakistan and more recently Oxford University (Mathematical Institute), where he was also assistant academic director of the university’s M.Sc. Mathematical Finance Program. Riaz is full-time director at 7city for all mathematical and computational finance based courses. In addition he oversees 7city’s Quantitative Finance series and consults on mathematical finance issues to City Institutions. His research interests are in theoretical and numerical/computational methods for derivative pricing and Islamic Banking. Course Tutor: Walter Eaves Walter read Electrical Engineering at Imperial College and went on to develop and deliver firmware for embedded communications systems before studying for a Master degree in communications engineering. He then developed distributed processing infra- structures for CORBA technologies, before studying for a doctorate, sponsored by his employer, ICL. Walter worked for over four years in novel distributed processing and database technologies at University College London. He currently works for Trafigura as a Risk Analyst and in database access and processing technologies for extensive Monte-Carlo projections. He has contributed to a number of industry standards and is currently a member of the FpML working group for Energy and Commodities products. Course Tutor: Dominic Connor Dominic has been programming in C and C++ since the 1980s when he graduated from Queen Mary College London. He has built trading systems for bond & equity markets, secure networks for the British government, reviewed C++ compilers for PC Magazine, and debugged operating systems for IBM & Microsoft. At some point he has written code for every major environment including Windows, OS/2, Reuters, Bloomberg, VMS, AS/400, DOS,VM and Unix. Cost: £1,995 + VAT Duration: Ten evenings Dates: 6 + 9 + 13 + 16 + 20 + 23 + 28 + 30 March + 3 + 6 April 2006 4 + 7 + 11 + 14 + 18 + 21 + 25 + 28 September + 2 + 5 October 2006 Previous delegates include individuals from the following companies: Barclays Capital Lehman Brothers BNP Paribas RBS CSFB Schroders Deutsche Bank UBS DrKW Wachovia Bank NA HSBC
  4. 4. For further details on the Certificate in C++ for Quantitative Finance - classroom or live distance learning - please contact: 7city Learning Princes House 95 Gresham Street London EC2V 7NA T +44 (0) 20 7796 1910 F +44 (0) 20 7796 1710 E Quantitative Finance courses include: o Certificate in Quantitative Finance o Mathematics for Quantitative Finance o Certificate in C++ for Quantitative Finance o Exotic Equity Options, Pricing and Hedging o Volatility, Advanced Modelling with PC Workshops o VG Modelling: Pricing Financial Derivatives in Equity and Credit Risk