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The first part of course, will introduce the basic concepts of C++ including variables, functions, pointers and references, function and operator overloading and along with inheritance and polymorphism, templates and the C++ Standard Library. Basic ideas of object-oriented design will be introduced. The second part of the course will cover computational techniques for solving mathematical problems arising in finance. Numerical solution of parabolic partial differential equations for option valuation and their relation to tree methods together with a basic introduction of concepts such as convergence and stability as applied to finite difference schemes. Prerequisites EN.550.427 Stochastic Processes and Applications to Finance. No prior experience with C/C++ is required.