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Module Title LM C++ for Finance
SchoolBirmingham Business School
Department Birmingham Business School
Module Code 07 25936
Module Lead Dr Nicholas Webber
Level Masters Level
Credits 20
Semester Full Term
Pre-requisites
Co-requisites
Restrictions As a compulsory module: MSc in Mathematical Finance
Contact Hours Lecture-0 hours
Seminar-0 hours
Tutorial-0 hours
Project supervision-0 hours
Demonstration-0 hours
Practical Classes and workshops-0 hours
Supervised time in studio/workshop-0 hours
Fieldwork-0 hours
External Visits-0 hours
Work based learning-0 hours
Guided independent study-0 hours
Placement-0 hours
Year Abroad-0 hours
Exclusions
Description

The module uses concepts of application design to structure the presentation of C++ and numerical material.  As new ideas are introduced their realisations in C++ are presented in the context of applications of numerical methods to models of asset pricing.  The chief example is a simulation method.  This is developed from a naive monolithic single procedure main to a powerful fully polymorphic application.  The final application,  employing a variety of important design patterns including a polymorphic factory,  uses most of the syntactical elements of C++ in standard design paradigms.  Other examples include evolution of Arrow-Debreu prices in a lattice.

Learning Outcomes

By the end of the module the student should be able to:

  • understand application design in OOP C++;
  • apply a range of numerical methods to important models in asset pricing;
  • critically appraise the benefits and the limitations of the numerical techniques.
Assessment 25936-01 : Project 1 : Coursework (40%)
25936-02 : Project 2 : Coursework (40%)
25936-03 : Class test : Class Test (20%)
Assessment Methods & Exceptions 2 x individualised computer projects (2x 40%) 1 x one hour class test (20%) Reassessment: 1x computer project
Other
Reading List