C++ for Quantitative Finance
From C language fundamentals to a production Monte Carlo pricer, implied volatility surface, and Excel integration. The complete M2 implementation course taught at Université Gustave Eiffel — every concept grounded in a working C++ codebase.
8 modules~224 min total
Prerequisites
Basic programming experience in any languageProbability and statistics fundamentalsSome familiarity with financial derivatives (helpful, not required)
Modules
01
C Language Foundations
EasyC++PointersMemory ManagementStack vs HeapArrays
22 min
02
C++ Classes and Special Member Functions
MediumC++OOPCopy SemanticsMove SemanticsRule of Five
28 min
03
Inheritance and Virtual Dispatch
MediumC++InheritancePolymorphismvtableVirtual Destructor
25 min
04
Abstract Classes and the Clone Pattern
MediumC++Abstract ClassesPure VirtualClone PatternPolymorphic Ownership
22 min
05
Monte Carlo Pricing Framework in C++
HardC++Monte CarloEuler-MaruyamaMilstein SchemeOOP Design Patterns
32 min
06
Implied Volatility Surface in C++
HardC++Implied VolatilityCubic SplineThomas AlgorithmDupire Local Volatility
35 min
07
Heston Stochastic Volatility: Theory and C++ Implementation
HardC++Heston ModelCharacteristic FunctionsFourier PricingEfficient MC
35 min
08
Exporting C++ to Excel via the XLL SDK
MediumC++Excel SDKXLLWin32 DLLFP12LPXLOPER12
25 min