Welcome

Quantitative Finance Software on the Web

C/C++

A Beginner's C++
About C/C++
C++ Computational Physics at Ohio State University
C++ Language Tutorial
C++ and Object Oriented Numeric Computing for Scientists and Engineers, C++ source code for text by Daoqi Yang, Springer, 2001
C/C++ Programming Reference
C++ Reference
C++ Standard Library - Tutorial and Reference: Examples (Nicolai Josuttis)
C++ Programs for use in Finance (Bernt Odegaard)
Codepedia C++ Programming Tutorial
Guillaume Caumon's Course on C++
Microsoft Visual Studio 2005 Rutgers affiliate download
Microsoft Visual C++ free download
Olivier Pironneau's C++ for numerical computing web course
Simple C Programs for Finance (Paul Feehan)
University of Strathclyde C Programming book
Wikipedia C
Wikipedia C++
Wikipedia External Links (web tutorials, ebooks)

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Excel and VBA Spreadsheet Quantitative Finance Models

Answers.com binomial tree technical information, links, and Excel spreadsheet models
Damodaran's NYU Excel spreadsheet models
Global Derivatives Excel spreadsheet models
John's Finance Excel spreadsheet models
Excel VBA spreadsheets for Advanced Modelling in Finance using Excel and VBA by Jackson & Staunton: spreadsheet Option1.xls (105 KB)
Kerry Back's Excel+VBA models for A Course in Derivative Securities
Course in Derivative Securities sheet (xls) & Paul Feehan's additions
Martin Haugh's Excel spreadsheet models for Columbia course Financial Engineering: Discrete-Time Asset Pricing
Steve Dunbar's binomial tree page for UNL course Stochastic Processes and Advanced Mathematical Finance
Wikipedia binomial tree technical information, links, and Excel spreadsheet models

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Excel and VBA (Visual Basic for Applications)

Anthony's Excel VBA (Macros) Tutorial
Anthony's Excel VBA (Macros) Tutorial
Excel Business Tool's Excel Links
Robert McDonald's An introduction to VBA in Excel
Utah State University VBA and Excel
Vertex42 Excel VBA Portal

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Excel Charts and 2D & 3D Graphs

About.com's What is the Excel Chart Wizard?
Internet4Classroom's Creating a Chart or Graph
Microsoft's How to use the Chart Wizard in Excel
University of Texas at Austin's Microsoft Excel Chart Guide

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MATLAB®

Global Derivatives MATLAB models
MATLAB download and site license for faculty and staff use on Rutgers-owned computers
MATLAB Student Version with academic discount from Mathworks
Mathworks documentation
Source code for Numerical Methods in Finance and Economics: a MATLAB-based Introduction by Paolo Brandimarte
MATLAB weblinks
SIAM Matlab guide
Textbooks on MATLAB available from the Rutgers libraries or Amazon.
University of Florida tutorial
University of Utah brief guide

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Numerical Analysis and Quantitative Finance Libraries

GNU Compiler Collection
GNU Scientific Library
Math Tools
Netlib
Network Theory - GSL for Microsoft Visual Studio
Numerical Recipes in C
QuantCode
QuantLib
Wilmott Forum: Heston model implementations

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Related Programming Software

Codepedia (C, C++, Visual Basic, and more ...)
Cygwin (complete Unix environment with emacs, gcc, and command shell)
GnuPlot

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Document Preparation

OpenOffice Writer, Spreadsheet, and Presentation Software Suite

OpenOffice.org free download (Windows/Mac/Linux) for Microsoft Office compatible software suite.

Technical Document Preparation with LaTeX

The teTeX package and Emacs editor are recommended for Linux systems, such as Fedora, the MikTeX package and WinEdt editor are recommended for Windows, and the OzTeX package is recommended for Mac. Many guides to LaTeX document preparation and samples are available:

AMS TeX Resources
LaTeX Project
University of Cambridge - Engineering Department
University of Oxford - Mathematical Institute
Wikipedia LaTeX Guide

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News & Announcements

Alumni & Graduates Celebration- Class 2019

IMG 4170.1

 

Launching Three New Certificate Programs in Fall 2019

Graduate Certificate in Data Science (for MSMF and FSRM students) - Click for details.

Graduate Certificate in Financial Statistics and Risk Management (for MSMF and MSDS students) - Click for details

Graduate Certificate in Mathematical Finance (for all students except MS Statistics students) - Click for details

For more information, please contact Professor Paul Feehan, Director of the Mathematical Finance Master’s Degree Program feehan (at) math.rutgers.edu.

Upcoming Events

Tue Oct 22 @12:00PM - 01:00PM
Mathematical Finance Master's Program- Admissions Information Session
Come join us for MSMF Admissions Information Session.
RSVP at: https://rumsmfinfosession.eventbrite.com

Tue Nov 05 @11:50AM - 12:50PM
TBA
Ruimeng Hu, Columbia University
Tue Nov 19 @11:50AM - 12:50PM
Resolving Asset Pricing Puzzles with Price Impact
Xiao Chen- Rutgers University
Tue Mar 24 @12:00AM
TBA
Kiseop Lee-Purdue University

Past Events

Tue Sep 24 @11:50AM - 12:50PM
Optimal Bookmaking
Bin Zou - University of Connecticut
Tue Oct 01 @11:50AM - 12:50PM
Viscosity solutions for controlled McKean–Vlasov jump-diffusions
Max Reppen - Princeton University
Tue Oct 08 @ 9:00AM - 10:00AM
Rutgers Mathematical Finance Open House Webinar
Come join us for our monthly MSMF open house webinar
Register here: https://msmf2019networkingevent.eventbrite.com
Tue Oct 08 @11:55AM - 12:55PM
Inverting the Markovian projection, with an application to local stochastic volatility models
Dan Lacker - Columbia University
Tue Oct 15 @12:00PM - 02:30PM
Rutgers University- Camden, Graduate/Professional School Fair