Introductory description

This module is driven by links into, and provides foundation for, the MSMF core structure: the latter determines the set of skills required and provides examples for applications. In turn, this module develops and supports the skills required for practical applications of theoretical concepts developed elsewhere in the core.

Module web page

Module aims

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

At the time of writing, we plan to focus on the C++ programming language. Students will gain in-depth training and practice in R and Python in other core modules of the course.

General Principles

Principles of programming, algorithms
Common and distinguishing features of different languages
Guide to “Good Practice” in programming
Using an Integrated Development Environment (IDE)
Different workflow models for application development
Testing and “debugging”

Fundamentals of Programming

Data types and data structures
Constants and variables, namespaces and scope
Program flow control
Functions
Input/output
Exception handling

Object Oriented Programming

Principles: classes, objects, instances
Member functions
Inheritance and polymorphism
Templates and generic programming
Design principles

Applications in Quantitative Finance

Learning outcomes

By the end of the module, students should be able to:

• Demonstrate a comprehensive understanding and explanation of the common and distinct features, including syntax, of a variety of programming languages
• Define and explain, both intuitively and formally, the concepts of “object oriented programming” and application design
• Critically evaluate the design choices and testing for coded programming solutions for a particular problem, both for self-written code and code written by others

Indicative reading list

Lippman, Stanley B., J. Lajoie and B.E. Moo: “C++ Primer” (5th - ed.) Addison Wesley, 2015 ISBN-13: 978-0-321-71411-4
Joshi, Mark S.: “C++ Design Patterns and Derivatives Pricing” Cambridge University Press, 2015 ISBN-13: 978-0-521-72162-2

Interdisciplinary

This module is part of a course taught in conjuction with the Maths and Stats departments

Subject specific skills

Design, build, and test applications from scratch to accomplish tasks and/or solve real world problems in Quantitative Finance
Identify, acquire and use public code libraries to incorporate in their own applications to achieve tasks as outlined in preceding item
Conceptualise a computational problem to select and specify appropriate data structures and methods to design, implement, and test/validate solutions

Transferable skills

Written communication

Problem solving

Numeracy