FINM 32700

Advanced Computing for Finance

Spring Quarter
Instructor: Sebastien Donadio
Syllabus

This course is intended to teach advanced programming concepts and techniques to students desiring to work in the financial sector.  It is tailored for students with basic knowledge in C++ programming. At the end of this class, students will have the necessary programming skills to be successful in their daily activities. We will cover the required skills to work as a quantitative researcher: advanced data structures (STL, Boost), parallel programming, inter-process communication, linear algebra computation, simulation and modeling.  We will work on several projects aimed at building a real trading system including the implementation of a trading algorithm, handling the connectivity to an exchange/brokerage house and issues related to performance. Classes are taught using a combination of lectures and in class hands-on lab sessions. 

Counts toward computing requirement