DESCRIPTION

This advanced distance learning course is for those C++ developers who wish to learn modern and state-of-the art C++ language features, de-facto standard C++ libraries and apply them to creating application. We use object-oriented, modular and generic programming techniques, design patterns and the interoperability with Excel to create efficient applications for a range of derivatives such as equity and interest rate products.

This practical, hands-on course teaches you C++ - from the fundamental to advanced level and how to use it to create flexible and robust applications in computational and quantitative finance. Some key features of the course are:

• You can start any time. You can take the course in your own time in a period of up to 10 months.
• You are eligible to take exams and present a small project dissertation if you wish; a graded certificate will be given to the student.
• End of month milestones; review of all exercises, new material dispatched to the student for the coming month.
• Students have full access to the Datasim forums, source code and other relevant documentation. In this sense we shall have a community of people working on the same problems and can help - and be helped - with all those little annoying problems that get in the way of the real work.

Prerequisites

Ideally, we assume that the student is working in finance and is acquainted with derivatives modeling. Knowledge of at least one high-level language is recommended but it is not necessary to know C.

Course Form

The course material is:

• Workbooks, exercises and source code
• Access to our site: forums, videos and e-mail
• Examination at the end of the course
• Student project (at the discretion of the student) and evaluation
• Certificate

The books provided with this course are:

• Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, by Daniel J. Duffy
• Financial Instrument Pricing using C++, by Daniel J. Duffy
• Introduction to C++ for financial engineers, by Daniel J. Duffy
• Monte Carlo frameworks, Building Customisable High-performance C++ Applications by Daniel Duffy & Joerg Kienitz

Click here for course contents.

We give a student discount. The student price is Euro 1500  (no VAT if you are outside EU). The courses remain accessible forever and you can plan your own schedule but in general it should be possible to complete a course (including exercises and mini-project) in 2-4 months.  See also our Frequently Asked Questions (FAQ) on the Datasim site. Please contact dduffy@datasim.nl