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Gain an overview of how to apply the object-oriented and generic features of the C++ programming language to create robust and flexible applications in the financial arena. This advanced course teaches the C++ programming tools needed to model and create financial instruments including plain vanilla options; to calculate option sensitivities such as delta, gamma, and theta; to model finite difference methods for one-factor Black-Scholes models; to create C++ classes for numerical analysis applications in finance; and to design Monte Carlo simulations and binomial tree models that numerically compute the prices of options.
http://www.sps.nyu.edu/content/scps...972