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What is the best way to improve programming skills for quant or quant-to-be?

dearallan

Joined
11/11/10
Messages
4
Points
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Recently, I participated in the ACM contest in my school. I found it a quite fantastic way to improve my programming ability for tiny math problems, rather than the huge mathematical model. So, I start to thinking the way to acquire the programming skills for quant.
As an undergraduate student majoring in software engineering, I can seldom get the opportunity to participate in projects with background of financial engineering or financial mathematics, because my university do not have any professor in the area. And what projects I can get access to are usually about B/S websites or C/S system. Of course, most of them are written in JAVA, rather than C++ which, I think, is the best language for quant.
Therefore, what is the best way to improve programming skills for quant? Does data mining projects help?
 
AlexandreH said:
Data mining does help. But you can also pick up couple of books from the list, and work Math/Finance problems in C++:
http://www.quantnet.com/master-reading-list-for-quants/
I suggest you go through "C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi" for example.
Download Booth: http://www.boost.org/
Click to expand...

I'm not sure Joshi books is good place to start - the book is not teaching much about basics of quantitative finance, and also is insisting on peculiarities of only one of possible coding approaches here (to fully comprehend it, I'd say very good knowledge of C++ is needed, and at least GoF book on design patterns should be read as prerequisite).

Instead, I'd suggest starting with some lighter introductory text on quantitative finance; here are some books that I'd suggest:
Buchanan, An Undergraduate Introduction to Financial Mathematics
Capinski & Zastawniak, Mathematics for Finance - An Introduction to Financial Engineering
Ideas for writing some code snippets will come along the way and, as usual, examining and comparing with code in some open source library like Quantlib is highly recommended. Once when basics mastered this way, I guess one could safely proceed with stuff from reading list mentioned above.
 
cgorac said:
I'm not sure Joshi books is good place to start - the book is not teaching much about basics of quantitative finance, and also is insisting on peculiarities of only one of possible coding approaches here (to fully comprehend it, I'd say very good knowledge of C++ is needed, and at least GoF book on design patterns should be read as prerequisite).

Instead, I'd suggest starting with some lighter introductory text on quantitative finance; here are some books that I'd suggest:
Buchanan, An Undergraduate Introduction to Financial Mathematics
Capinski & Zastawniak, Mathematics for Finance - An Introduction to Financial Engineering
Ideas for writing some code snippets will come along the way and, as usual, examining and comparing with code in some open source library like Quantlib is highly recommended. Once when basics mastered this way, I guess one could safely proceed with stuff from reading list mentioned above.
Click to expand...
Actually, I thought dearallan wanted to learn programming specific to FE, that's why I suggested the list (which includes both easy and hard material). Joshi's book may not be the best start if he's not familiar with the material at all, you're right about that.
 
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