Program: The Pre-MFE Program at Baruch College
Hands-on introduction to C++ for Masters students in financial engineering — no prior programming experience required. The course builds from language fundamentals through object-oriented design, templates, and STL/Boost, then applies those skills to computational finance.
How the course works #
Each level covers one logical topic (typically 20–30 minutes of material). Short quizzes check theory before hands-on programming exercises; roughly half of the examples are general engineering/math, half are computational finance. Visual Studio is the reference environment, but any standard C++ compiler works.
Syllabus map #
- Part I — Basic C/C++ language and syntax — environment, types, control flow, functions, preprocessor, pointers, arrays, aggregates
- Part II — Object-oriented programming — classes, encapsulation, operators, memory management, namespaces
- Part III — Inheritance and polymorphism — ISA modeling, virtual functions, abstract bases, exceptions
- Part IV — Generic programming and STL — templates, containers, algorithms
- Part V — Boost libraries — selected libraries used in finance applications
- Part VI — Computational finance applications — design and implement pricing/numerics in C++
Applications (Part VI) #
- Monte Carlo — SDEs, RNGs, accuracy and performance
- Finite difference — Euler, Crank–Nicolson, ADE, early exercise, CIR
- Lattice methods — binomial/trinomial, two-factor trees, comparison with FD
- Exact and quasi-exact — Black–Scholes greeks, Barone–Whaley, bonds and swaptions
Open Lecture notes under Start here for in-class follow-along (requires sign-in). Exercise sheets and other materials are listed in the library below.