Teaching

Lectures :

2017-2018

• Mathematical Finance I: Discrete Time, 3rd year Undergraduate (compulsory module), King's College (lectures)

2016-2018

• C++ in Financial Mathematics - Master course for the Master in Financial Mathematics (Dept. of Mathematics) and the Computational Finance Master (Dept of Computer Sciences), King's College (lectures and practicals)
  • Lecture 1
  • Lecture 2
  • Lecture 3
  • Lecture 4
  • Lecture 5
  • Lecture 6
  • Lecture 7
  • Lecture 8
  • Lecture 9
  • Lecture 10
  • Preliminary exercices
  • Practicals 1 - Solutions
  • Practicals 2 - Solutions
  • Practicals 3 - Solutions : Problem 1 - Problem 2 - Problem 3
  • Practicals 4 - Solutions : Problem 1 - Problem 2 - Problem 3
  • Practicals 5 - Solutions : Problem 1 - Problem 2 - Problem 3
  • Practicals 6 - Solutions
  • Practicals 7 - Solutions
  Examination:
  • Example
  Some references:
  • J. Armstrong, C++ in Financial Mathematics
  • D. Brown, G. Satir, C++ The Core Language: A Foundation for C Programmers, Cambridge
  • M. Capinscki, T. Zastawniak, Numerical Methods in Finance with C++, Cambridge.
  • Daniel Duffy, Introduction to C++ for Financial Engineers: An Object-Oriented Approach, Wiley Finance.
  • M. Joschi, C++ Design Patterns and Derivatives Pricing, Cambridge
  • B. Stroustrup (Creator of C++), Programming: Principles and Practice Using C++. Pearson Education, 2014.
  • B. Eckel, Thinking in C++, Vol.I and II, Prentice Hall.

Tutorial classes:

2012-2015

• Asset pricing and arbitrage (Master 2 MASEF, University Paris-Dauphine and 3rd year ENSAE).

2012-2014

• Linear Algebra (License 1, University Paris-Dauphine).

2014-2015

• Introduction to financial mathematics (License 2, University Paris-Dauphine).