Learning how to implement financial models is a three-stage process. The first stage requires a deep understanding of the theory, which provides necessary mathematical tricks which can be exploited to optimise the code. The second stage involves understanding the computational language of the implementation and how to apply it in a software engineering setting. Finally, the third aspect is the marriage of the two first stages. This is why PhD candidates in a technical discipline are highly sought for financial engineering, as they already possess the ability to independently model technical phenomena.
In the modern financial world C++ is by far the most prevalent programming language. A good understanding of the language will be a necessary prerequisite to gaining an interview. It is far easier to work through programming textbooks than mathematical texts, hence there are more listed here than in the theoretical foundations article. Since the aforementioned first stage … Read More