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Computational Finance


'Computational Finance', also called 'Financial Engineering', employs mathematical methods with the aid of computers to make trade decisions. People working on this is often called 'quants' (quantitative analysts).

Core knowledge needed:

  • C++: since these computations often need a lot of CPU resource, and these routines are often put in libraries.
  • Math:
    • stochastic calculus (随机分析,随机变分法)
    • multivariate calculus (多元微积分)
    • linear algebra (线性代数)
    • differential equations (微分方程)
    • probability theory (概率论)
    • statistical inference (统计推断,统计分析)

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