Section outline

  • Overview:

    The objective of the course is to teach students fundamentals of C++ and demonstrate several applications from quantitative finance and algorithmic trading. The course does not assume any previous knowledge of C++. After course completion the students will be able to code simple applications in C++ from quantitative finance and algorithmic trading areas,  understand the fundamental concepts of C++ language. During the tutorials students will practice how to perform interest rate curve interpolation, how to perform algorithmic hedging of fixed income portfolio and to design a simple booking algorithms in C++ including derivative trades, positions, risk and delta-hedging. Students will also study how to implement counter party credit risk estimation for simplest derivatives. The course does not cover the design patterns of the advanced programming. The course also introduces the student to the various aspects of Standard Library in C++ where the algorithms and data structures are implemented. Throughout the course, the sample questions from quant interviews and the solutions to them are presented.



    DETAILED OVERVIEW


    About the Module Leader:

    ivan

    The course is delivered by Visiting Professor Ivan Zhdankin  - a quantitative trader with experience in diverse areas of quantitative finance, including risk modelling, XVA, and electronic trading across asset classes, including fixed income, G10 and emerging market currencies. Ivan was consulting various banks in quantitative modelling. Now Ivan is a director in Barclays working in systematic trading in rates. Ivan has a mathematical background from New Economic School and Moscow State University, where he studied under the celebrated Albert Shiryaev, one of the developers of modern probability theory.