MET CS 563 Software Development with C++ for Mathematical Finance -- Spring 2010

Schedule Format & Policies Grading Compilers References

Catalogue Description: In-depth discussion of object oriented programming with C++ for mathematical finance. Topics include: built-in-types, control structure, classes, constructors, destructors, function overloading, operator functions, friend functions, inheritance, polymorphism with dynamic binding. Case study: finite differences solutions for the basic models of financial derivatives; design and development of modular, scalable, maintainable software for modeling financial derivatives.

Meeting Times: Wednesday, 6 pm – 9 pm

Location: PHO 211

Instructor: Tanya Zlateva (zlateva-at-bu-dot-edu, 617-353-2568, 755 Commonwealth Ave, Room 103)

Office hours: Wednesday, 4:00 pm – 5:30 pm

Teaching Associate: Michael Lee (mdlee-at-bu-dot-edu)

Office hours: by appointment

Course Site on Blackboard 8: http://blackboard.bu.edu All course materials will be posted on the Blackboard 8 course site. You are already enrolled and can access the site with your BU Kerberos password.

Goals and Objectives: This course aims (i) to provide knowledge and skills for designing and developing modular, scalable, maintainable programs in the C++ programming language using object-oriented methods;  (ii) to teach C++ design and implementation on numerical methods relevant to mathematical finance; (iii) to discuss finite differences solutions for the basic models of financial derivatives.

Upon completion of the course, the student will have an understanding of software design criteria, and how to use them for guiding the design and development of financial modeling software, and be able to use the flexibility and power of C++  in conjunction with the object-oriented paradigm.