Computational Finance I
C++ in Financial Engineering with a Focus on Monte Carlo Methods
Christoph Becker, Dr. Bernd Engelmann and Prof. Dr. Uwe Wystup
MathFinance, Quanteam and HfB - Business School of Finance and Management
5 Day Seminar
Contents
- Short introduction of C (Transfer of your Basic / FORTRAN / Pascal - programming knowledge to C)
- Detailed introduction of object oriented programming with C++
- Basic Monte Carlo – principles
- Enhanced Monte Carlo techniques for the computation of Greeks
- Variance reduction with control variates
- Using C++ in practice: Compilers, debuggers, creating libraries (DLLs), linking with Excel, class framework for a real life option pricer, aspects of numerical stability, optimization.
- Standard template library (STL)
- Many supervised exercises and group projects with real applications
Who should take this course
Students of the Master Program in Quantitative Finance, Financial Engineers, Risk Controllers, Financial ConsultantsPrerequisits
Working knowledge in a programming language such as Pascal, Basic, FORTRAN etc.You need to bring
Your own notebook with a C++ compiler installed. In the course we will only support Borland C++ Builder and Microsoft Visual Studio. A free trial version of the Borland compiler is available from the net.Participants
at most 20Fee
2000 EUR1200 EUR for HfB-students or HfB-alumni
free for students enrolled in the Master of Quantitative Finance Program at HfB
Registration
please contact Mrs. Claudia Klemens (klemens@hfb.de) . You may download a registration form here.Monday to Friday 21-25 November 2005 daily 9:00 - 17:00 HfB Room 7
new instance of MathFinance
