Topic outline

  • General

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  • Course Overview

    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.

  • Course Schedule

    Course Schedule:

    28-October-23
    		 Saturday
    		 09:00-11:30 Lecture 1.5hr, Tutorial 1hr. Room: Bancroft Mason Lecture Theatre (Bancroft building)
    		C++ Introduction, Yield Curve Interpolation
    28-October-23Saturday12:30-15:00 Lecture 1.5hr, Tutorial 1hr. Room: Bancroft Mason Lecture Theatre (Bancroft building)Object Oriented Programming in C++, Algorithmic Hedging
    29-October-23Sunday 09:00-11:30Lecture 1.5hr, Tutorial 1hr.
    		 Room: Bancroft Mason Lecture Theatre (Bancroft building)Defining your own data structures in C++, Counterparty Risk Management 
    29-October-23 Sunday 12:30-15:00 Lecture 1.5hr, Tutorial 1hr. Room: Bancroft Mason Lecture Theatre  (Bancroft building)Standard Library in C++, Equity Derivative Portfolio Design and Delta-Hedging


    Final assessment date - 4 Novermber 2023.

    Link to join Slack chat:  https://join.slack.com/t/qmfinclass/shared_invite/zt-25ziayh6b-erzFNZj4RgFO~VXw1DnxeA
    Chat room: #qm_cplusplus_autumn2023
    email: zhdankin.ivan@gmail.com

  • Lecture Notes

  • Lecture Recordings - delivered life

    • Page icon
      Links to Recordings Page

      C++ for Finance  Link to Recorded Video of the class
      28-October-23Sat09:00-11:30Lecture 1:  not available
      Tutorial 1:  not available
      28-October-23Sat12:30-15:00Lecture 2:  not available
      Tutorial 2: not available
      		 
      29-October-23Sun09:00-11:30Lecture 3:  not available
      Tutorial 3:  not available      		 
      29-October-23Sun12:30-15:00Lecture 4: not available
      Tutorial 4:  not available
      		 

  • Assessment - Dates: 4 November 2023