FE 587 - C/C++ Programming for Financial Engineering

$dS_t = r S_t dt + \sigma S_t dW_t$

Fall 2014-2015

Instructor: Ali Taylan Cemgil
Bogaziçi University, Department of Computer Engineering,
Istanbul, Turkey

Announcements

• (23.09) Lectures: Saturdays (10:00-13:00) unlike posted in the schedule

• (23.09) Please bring a laptop to the class

Reference Material

In this class, we won't follow a specific book. The following online notes are covering the topics well:

As reference material the following online resources will also be useful:

Programming environment

A C++ Programming environment is required for the course.

We will be using the Eclipse environment with the GNU compilers gcc/g++ in the class. Use of GNU tools and the eclipse environment provides the widest flexibility and guarantees maximum cross platform portability (Mac, Linux and Windows).

Depending on your platform, there are several alternatives:

Mac OS X

• Eclipse IDE + GNU c/c++ compilers (gcc and g++)

• XCode

Linux

• Eclipse IDE + Native gnu c/c++ compilers (gcc and g++)

Windows

• Eclipse IDE + MinGW

• Microsoft Visual C++ Express.