A question about C++

[iRae]

I am currently a student majoring in Applied Mathematics, I took a one-semester C++ course and just used it to solve some simple problems like maze problem. Now I really want to know what do MFE students and Quants do with C++?(what kind of models and how to solve them using C++) Could someone give me an example?Thanks

 

[DominiConnor]

My favourite Quant Developer quote is "this is how we turn mathematics into money".
As quant you will spend 60% of your time doing some for of programming and C++ is easily the most common quant programming language.

There is a lot of number crunching in C++, solving PDEs through finite difference and monte carlo.
Sucking in data, cleaning it up, and running any one of a thousand types of analysis on it.

We have a partial list in the guide, and it grows by the day. The C++ section started off as two pages, it's now an order of magnitude bigger.

 

[Sam Harris]

We have a partial list in the guide, and it grows by the day. The C++ section started off as two pages, it's now an order of magnitude bigger.

Where is the guide? I'd like to read that as well.

 

[Uncle Max]

From Dominic's blog:

FAQ 7: How do I get a copy ?
i) Register on our database : www.pauldominic.com
or
ii) Send us your CV, Dominic@PaulDominic.com
or
iii) Attend a finance course at one of the places that we have an agreement with to distribute it to students.
but not
iv) Apply for a job through a headhunter who so illiterate or lazy that he not only violates our copyright, but doesn't realise it is a plug for his biggest competitor.

 

[DominiConnor]

The part about competing headhunters handing out our Guide is true. If you haven't read it yet then you need to know that our copyright is on every page, along with the name of our firm and our contact details.
We thought about getting our industrial strength lawyers involved and crushing them like bugs, but then we realised just how bad it made them look, and decided that that anything we did wouldn't be as painful as what they do to themselves.

 

[Andy Nguyen]

Could someone give me an example?Thanks

You can start out by writing Black-Scholes, european put call options, greeks....
Input interest rate, volatility, maturity, strike, spot and output put, call option prices...

The formulas are from John Hull book. These are very standard beginning exercises that most MFE students do.

 

[Vic_Siqiao]

buy Mark Joshi's book to read

 

[ckwright]

P&D Guide

I've read the guide and found it very effective in preparing for interviews.