Programming in C, C++ & Financial Engineering

For those who can already program in a procedural language such as C (using control structures such as if, for, while, etc.), this course covers the fundamentals of the C++ programming language and shows how to program using object-oriented principles.

In this hands-on quantitative finance short evening course students learn the most widely used models in the banking industry on the Interest Rates and FX markets.

The course will start with Libor Market Model for single and Multi-Currency models, then move to Markov Functional Models, the ShortRate Models, and then volatility models like SABR models, inflation, etc.