Time and Location
Math and C++: Innovations and Improvement
Between enhancements added to the language beginning with C++11, and some of the mathematical capabilities in the Boost Libraries, C++ now has a lot to offer quantitative developers. On the other hand, 20 years ago, C++ was the go-to language in computational finance, but demand has cooled in favor of other languages such as C#, Java, and Python.
We will start with a tour of new C++ features that are of immediate benefit to quantitative developers, followed by a quick trip through the good, the bad, and the ugly of Boost math features, and conclude with a discussion on how C++ might restore its luster within computational applications development.
Daniel Hanson spent over 25 years in quantitative development in finance, primarily with C++ implementation of option pricing and portfolio risk models, and library development. He now holds a full-time lecturer position in the Department of Applied Mathematics at the University of Washington, teaching quantitative development courses in the Computational Finance & Risk Management (CFRM) MSc program. This includes intermediate and advanced classes in computational C++, and advising students in Google Summer of Code projects involving mathematical models implementation with C++ and R.
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