"Free Seminar Evening – Software Frameworks in C++ and C# for Applications in Computational Finance" by Daniel Duffy

Speaker: Daniel J. Duffy, Datasim

Date and Time: Tuesday 26 June 2007, 18.30 to 20.30

Venue: City of London

Registration: contact Ilona Hooft Graafland

In this seminar we discuss how modern software design techniques are used to create applications in Computational Finance using C++ and C# as the implementation languages. We elaborate on the object-oriented and generic programming features that we employ to create robust and maintainable software systems for a range of derivatives applications such as equities and interest rates. In particular, we concentrate on PDE/FDM and Monte Carlo methods.

Some of the topics to be considered are:

• Designing architectural Frameworks for financial applications

• Combing the object-oriented and generic programming models

• Developing applications for Monte Carlo and PDE

• Choosing between C++ and C#: creating interoperable applications

Who should attend:

• Quants and quant developers

• Managers who wish to gain insight into the software development process in Computational Finance 

Program:

18.00 – 18.30 Refreshments and Registration

18.30 – 19.30 C++ and C# for Computational Finance

19.30 – 1945 short break/refreshments

19.45 – 20.30 Option Pricing with PDE and Monte Carlo

20.30 end of seminar

About the Speaker: view Daniel's profile