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
Bogaziši University, Department of Computer Engineering,
Istanbul, Turkey


  • (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


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


  • Eclipse IDE + MinGW

  • Microsoft Visual C++ Express.

    • This is a FREE C++ environment available for download from Microsoft. To download and install click here

  1. Eclipse is an open source IDE, whose projects are focused on building an open development platform comprised of extensible frameworks and tools for building, deploying and managing software across the lifecycle. It is developed by the independent Eclipse foundation, with several corporate sponsors from the industry (such as IBM, Amazon, Cisco, Google). The Eclipse Foundation is a not-for-profit, member supported corporation that hosts the Eclipse projects: To read further, see http://www.eclipse.org. The fact that Eclipse runs on all platforms makes it very attractive.

  1. MinGW (Minimalist GNU for Windows) is a native software port of the GNU Compiler Collection (GCC) and GNU Binutils for use in the development of native Microsoft Windows applications.