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Self study recommendation for C++, financial models

Hi,

I was looking through the JOS job board, and I saw a job that I'm interested in, but I don't have the background  (It was for a financial modeling/C++ developer position).

In my math major and MS in Industrial Engineering, I used C++ for all my homework and thesis, and I got decent at numerical recipies in C/C++ (along with the basic data structures).  That said, I've never written a line of production-code C++. The moment I left school, I went straight to Java (where I have a decent amount of experience doing math-related production-grade software). 

To get considered for these finance-dev positions, it seems pretty clear I need to ramp up on C++. I've considered another MS degree, but that would be hard for me to pull off right now (I have a wife, kid, and mortgage). 

So I was figuring maybe I could start a 6-12 month self study.  I know it'll take a few years on the job to get genuinely good at this, but I could probably get to the point where I wouldn't seem clueless in an interview, and a hiring manager might figure that I have enough to get started. 

Anyone got some recommendations on good books or a study path - math, finance, and C++ related?
gee bee
Tuesday, May 15, 2007
 
 
Marc Joshi has some good books.
Steve Hirsch Send private email
Tuesday, May 15, 2007
 
 
C++:

Start with "Accelerated C++", by Koenig & Moo, especially if you learned C and C++ together. Modern C++ style is dramatically different from what's done in C. That little book will do more than anything to untangle the two.

The Meyers "Effective C++" books are very worthwhile as are Sutter's books, although you can get a lot of his material from his website: http://www.gotw.ca/publications/index.htm

Consider Strostroup's "The C++ Programming Language" as a good background that explains *why* things are done a certain way in C++. Don't put it at the top of your reading list if you're in a hurry though.


As for financial modeling, I don't know the first thing about it.
clcr
Tuesday, May 15, 2007
 
 
clcr nailed it.
JustAnotherHacker
Tuesday, May 15, 2007
 
 
Plenty of java in the banks.  You can start applying immediately.  You might need C++ for some roles, but apply away with Java + Maths.  Someone will hire you and you can get a much better view of where you want to go and what skills you'll need.

Go search dice.com for "java algorithimic trading" or "java hedge fund" or "java finance." There are plenty of jobs. Stop looking at the JOS board, it's crap.
BoLex
Tuesday, May 15, 2007
 
 
http://accu.org/index.php/book_reviews

and comp.lang.c++.moderated for questions.
jk
Wednesday, May 16, 2007
 
 
Thanks for the replies - I checked out Marc Joshi's site and I'm definitely going to look into his books.  Unfortunately, he did repeat the advice that worries me the most - that by and large, you need a Ph.D.  However, the dice search did show that there are some cool looking jobs for MS level people (and with Java, as it turns out).  I think the Ph.D requirement assumes you're going for a truly hardcore, R&D style quant job.  Looks like there are some cool quant-dev jobs that don't require quite that level of formal education. 

One reason I'm interested in self study is that this is more of a long-term plan for me.  I'm enjoying my current job, and I need to finish a couple of releases to get full "resume credit" for the work I'm doing.  But I figure I'll be ready to move on in a year or so.  So I may as well get as much C++ and Quant Math under my belt as I can.
gee bee
Wednesday, May 16, 2007
 
 

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