• C++ Programming for Financial Engineering
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  1. M

    Calculating portfolio risk with

    Hello all, I need help. Im writing a diploma research and Im stuck at one point. So the story is as follows: I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and...
  2. M

    American Options pricing

    General question: Is there an only way to price an American Option?
  3. M

    C++ Book

    Hello! I need to study C++ from the scratch and I need your advice which is the best book for quants. I want to study C++ from the mathematical point of view. So what do you think? Which book would you recommend? Thanks you
  4. M

    C++ vs C#

    Why do recruiters ever prefer C++ over C#? As I read most of job requirements in this field C++ is being required in the vast majority of these cases. Can I replace C++ by knowing C#? Or it cannot be altered. Actually what I'm asking is if I can send the application to a job requiring C++ when I...
  5. M

    Investments 7th VS 8th

    Hello! I need your opinions about the "Investments" books of Bodie-Kane-Marcus. At university I have studied "Investments 7th edition" and it was really a great book. And i wonder if something is improved significantly in 8th edition and if so what?. As I saw there are more talks about the...
  6. M

    Method Overloading

    Look I have 2 or 3 parameters(see the code below) and I want to make sure that Im protected against all the incoming data types (int, long,double) So I have defined a method via double types. What should I do now? Provide the same method with all the combinations of data types??? Cast them to...
  7. M

    Matrix dimensions

    Hello! I wonder how can I get the matrix dimensions double[n,m]. So im interested in getting n provided that m is unknown. Im using C#. Thanks
  8. M

    Method overloading

    Hello everybody! Please explain me one issue in C# If i have a method that takes 2 parameters X and Y and both can be either int type or double type at the same time or either int and either double. Do I have to define the method in all the combination to get a full protection that the...
  9. M

    .NET 4.0 vs .NET 3.5

    Hello everybody! Could anyone possibly explain the main difference between and .NET 4 and .NET 3.5. What important features is there added and its advantages over .NET 3.5. From the mathematical point of view would be ok. Thanks
  10. M

    Biginteger conversion

    Hello anyone! Please i need an urgent help and any response from u will be ok even if unuseful.. Thanks in advance Look i cannot divide 2 BigInteger variables by each other to get a floating point number(float). When i cast it still gives me either 0.0000 or integer number. What should i do...
  11. M

    HyperGeometric Distribution

    Hi Can anyone tell me what are the mean and variance of hypergeometric probability distribution?? Thank you
  12. M

    Bernulli to Binomial

    Hello! I need some help. As we know binomial distribution is nothing more than several times repeated bernulli random experiment. Bernulli random experiment has 2 outcomes: 0 and 1. So X = 0; 1. In case of Binomial model we have several Xs. Xi = X1 + X2 + ... +Xn. And its expectation and...
  13. M

    Variance calculation

    Hello Friends! I need urgent help. Got a midterm exam this evening. So the problem is: Assume that deltaS/S has normal distribution with mean of zero and variance sigma^2. Calculate variance of random variable (deltaS/S)^2. Thank you very much
  14. M


    Hello! I'm interested what exactly the job of a trader is. As I know he/she just executes orders. So why does he/she need to make prediction about the market??? Thanks
  15. M

    Max-Min-Root algorithms

    Hello! I wonder which is the best algorithms to find the max-min or root(s) of a function... I have developed a code which passes through the all points of the function in a very big range and chooses if the value is max, min or equal to 0. So it takes very long time to get the value. What...
  16. M

    VAR methods PCA vs FA

    Hello everyone! I have a question regarding the choice between the Principal Component Analysis and Factor Model methods. PCA's main focus is the diagonal terms in covariance matrix and FA model concentrates on off-diagonal terms. Everything in calculation of both model is clear and...
  17. M

    BDT model in C++ or VBA

    Can anyone provide a C++ or VBA code for computing the YTM for BDT model? Thanks