Carnegie Mellon University

Financial Computing II

Professor: John K. Ostlund

Department: Heinz

Course Number: 46902

Description: In this course, we will investigate more advanced concepts in C++/Object-Oriented Programming: classes, inheritance, polymorphism, templates, generic programming, containers, algorithms, and random number generators from the C++ Standard Library.  We will use these facilities to introduce and implement four different approaches to option pricing: analytical (Black-Scholes-Merton), binomial trees, simulation, and numerical integration (all of which will be covered in more detail in parallel and later MSCF courses).  Reference texts (not required)"C++ Programming Language, 4th Edition" by Stroustrup, "C++ Standard Library: A Tutorial and Reference, 2nd Edition" by Josuttis, "C++ Primer" by Lippman, et al, "Numerical Recipes in C++" by Press, et al. 

Prerequisites: 46901