Early Financial C++

[Noko]

Hello everyone, I have done a lot of programming in C++, but very little of it is math-intensive. The most mathematical programs I have made have been along the lines of "Solve an equation for 'x' using the Quadratic Formula" and "Expand using the Binomial Theorem". What else can I do for practice? Unfortunately, my math right now extends through Calculus 1, which keeps me from writing advanced programs based on Black-Scholes, Monte Carlo, etc. Are there simpler computations I can do while I build up my math base?

Thank you so much for any ideas or suggestions.

 

[alain]

what is "a lot of programming" in C++?

 

[mkheidzedavid]

Have you already studied derivatives, VAR or investment theories? If not then you can take these subjects and study carefully. You will encounter a lot of mathematical problems to be built in programming environment. And as for calculus, you can expand your work through many well known stochastic models or linear algebra (that is also included in calculus) and working with linear algorithms.

 

[Noko]

what is "a lot of programming" in C++?

I learned C++ a few years ago on my own and now I've gone through a course and a half at university, and have been doing well on every assignment, and have done extra programs, like the ones I mentioned, just for fun.

Have you already studied derivatives, VAR or investment theories? If not then you can take these subjects and study carefully. You will encounter a lot of mathematical problems to be built in programming environment. And as for calculus, you can expand your work through many well known stochastic models or linear algebra (that is also included in calculus) and working with linear algorithms.

I have thoroughly studied derivatives, though I have not learned how they are implemented in finance. That's what I'm aiming to do; implement what I learn. It's one thing to make a program to perform an operation, but I want to know what I could program to use it in a matter related to finance.

 

[mkheidzedavid]

Aha, now that's clear. The best way would be to have studied the subjects you want to implement and C++ itself simultaneously but that's not a big problem. Now from my point of view the best advice I can give you is to get a financial C++ books and they will help you hone your talent. What I personally did is that I studied C++ and financial theoretical subjects at the same time during my BBA course and then I studied the book I advice you on. Now I have no trouble creating any kind of financial software as long as it's too easy for me to construct complex algorithms. ( If you wanna take a quick look i can send its e-version via skype if you tell me your ID) Good Luck.

 

[Noko]

Well as far as books go, I borrowed http://www.amazon.com/Modeling-Derivatives-C-Wiley-Finance/dp/0471654647 from my university's library, but the math is above my head. I'm looking for simpler financial methods to program, if that's what you have. I can PM you my email if you would like. Any other links to similar methods are also appreciated.

Maybe I'm taking the wrong approach. Should I work ahead in my math instead of trying to program what I already know? Should I do both? What is needed for mainstream analysis? PDE's? Or are there simpler, but related, things that I could be programming?

 

[mkheidzedavid]

Well then I think that you should before improve your math skills. If you go on searching for as you said "simpler financial program" then it makes you just have fun again not concerned with professional accomplishment. The reason why I give you this advice is that there are some kind of algorithms that need creativity and without solid math skills it might be almost impossible.
There are many simple formulas in finance that you can build in C++. The best course of action would be to develop your math skills along with keeping up with the programing environment. Try to do both.

---------- Post added at 03:39 PM ---------- Previous post was at 03:36 PM ----------

The reason why I might be a bit unclear is that I don't know your personal life. i mean that you might be married or might have to take care of children or parents preventing you from having so much time to learn both. (u got me?) And I asked you your skype ID because the file is the one you will find very interesting. It takes a bit much memory to be uploaded on mail. Let's try something else. The version is the one you will like. how about that?

 

[Noko]

Great book, thanks!

 

[quantstart]

May we ask what your university background is (i.e. what subject you are majoring in)? It might help us to be able to point you in the right direction.

 

[Noko]

May we ask what your university background is (i.e. what subject you are majoring in)? It might help us to be able to point you in the right direction.

CS major, would like to minor in mathematics but that's where I'm really lacking right now.

 

[quantstart]

As a CS major, I would assume that you have learnt a lot of discrete mathematics. The area that you will probably be lacking in (assuming you haven't done your own reading or you haven't taken courses on the subject) is continuous mathematics/calculus/analysis as well as probability theory.

In particular, picking up a book on "Real Analysis" or any of those large Calculus books will give you a good start. This will certainly help you get to grips with more advanced texts on Stochastic Calculus.

In terms of Probability, there is a book by Sheldon Ross, called "A First Course in Probability Theory" which you may find helpful.

Have a look at your university library and see what you can find!