Curriculum

ECE 16:332:503 Programming Methodology for Numerical Computing and Computational Finance

Schedule

The course is offered during the Fall semester.

• Class meeting dates: Please visit the University's academic calendar.
• Schedule and Instructor: Please visit the University's schedule of classes for the instructor, time, and room.
• Instructor and Teaching Assistant Office Hours: Please visit the Mathematical Finance program's office hour schedule.

Course Abstract

This is a design oriented course that meets in a computer lab/classroom for maximum emphasis on hands-on programming. Lectures will be reinforced with small programming examples during the lecture, followed by homeworks and lab exercises that will focus on numerical computing and computational financial applications. The course is broken up into three major parts: the first part covers the basics of C++ syntax, data types and program structure. The second introduces object oriented programming concepts. The third part of the course covers data structures and advanced program design. All concepts and topics covered will be demonstrated using financial or numerical computing applications. The course will culminate in a final project. The textbook for the course is "How to Program in C++"by Deitel & Deitel. It is a general guide for C++ and has a supplemental lab manual.

Pre-requisites

Please contact the instructor.

Required Textbooks

How to Program in C++, by Deitel & Deitel or the equivalent.

Sakai

All course content – lecture notes, homework assignments and solutions, exam solutions, supplementary articles, and computer programs – are posted on Sakai and available to registered students.

Grading

Please contact the instructor.

Class Policies

Please contact the instructor.

Previous Course Instructor Websites

2009 Shiyu Zhou
2008 Deborah Silver
2007 Deborah Silver

Weekly Lecturing Agenda and Readings

Lecture	Topics	Reading Assignments
1	Overview of C++ basics: syntax, control structures, data types, code compilation
2	C++ basics: loops, functions ¨C call by reference, call by value,
3 and 4	C++ basics: arrays, pointers, recursion, mathematical functions
5	Introduction to classes & object oriented programming
6 and 7	Operator overloading & memory management.
8	Inheritance & Polymorphism.
9	Advanced Inheritance.
10	Templates & The Standard Template Library
11 and 12	Abstract Data Types: lists, linked list, stack, queues, trees
13 and 14	Data Structures for Financial Engineering Applications
15	Quantitative Finance Application I
16	Review, Final Project & Final Examination

Library Reserves

All textbooks referenced on this page should be on reserve in the Hill Center Mathematical Sciences Library (1st floor). Please contact the instructor if reserve copies are insufficient or unavailable.