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Building Quantitative Finance Coding Experience Through Open Source

Article Quant Q&A · Author: Don Shanil
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Summary

The document offers career-development advice to a mathematics PhD with derivatives valuation experience who wants demonstrable C++ work implementing financial models. The answer suggests exploring public repositories focused on topics such as option pricing or machine learning, studying their implementations, and then improving one’s own coding through practical feedback. Code review communities are presented as a place to submit working projects and receive critiques on code structure and setup.

This is guidance for building and showing programming experience, not a tutorial on pricing models or a review of specific repositories. It provides no comparison of projects, hiring criteria, or evidence that a particular contribution will improve job prospects. The usefulness of the advice therefore depends on selecting relevant, well-maintained code and producing a clear, working contribution that demonstrates sound implementation choices.

Key ideas

  • Public repositories can provide examples of C++ implementations related to quantitative finance.
  • Studying existing projects can help build familiarity before contributing code.
  • Submitting working implementations for review can surface improvements to code structure.
  • The document gives general career advice and does not identify a specific project or hiring standard.

Tags

Derivatives pricingOptionsMachine learning
Full text
# Open source projects to gain demonstrable experience in implementing modeling in C++


# Open source projects to gain demonstrable experience in implementing modeling in C++












I have a mathematics background with a PhD in mathematics (not related to stochastic processors or financial mathematics) and have been in derivatives valuation for around 6 years. When applying for quantitative finance roles I tend to struggle, as although I have a knowledge of C++, often, it is requisite to have some sort of demonstrable background in implementing pricing models - this is experience I do not have. Could someone point to some open source projects or other initiatives that I could take part in so that I can gain this experience, and also use it as example to potential employers to demonstrate that I have been able to build up the requisite experience. Would greatly appreciate any suggestions, including input from those who have been roles responsible for hiring, with regards to which sort of experience would count as valuable.

## Answer by amdopt (score 4, accepted)

https://quant.stackexchange.com/a/54357

I would give GitHub a try. Searching for option pricing or machine learning or anything like that yield a ton of repositories with implementations that you can look through and learn from. Here are 2 search links:

GitHub Search for C++ machine learning

GitHub Search for C++ option pricing

After gaining some level of comfort, I would look to improve the quality of your coding. Submitting working code to the Code Review SE would work well if you were looking for people to critique and give you advice on the structure and set up of your code. You could also search there for implementations and take note of the suggested improvements. Here is a search I just did. I didn't look at any of the results but there are some there:

Code Review SE search for C++ option pricing

Code Review SE is one of the best resources I know of for improving your coding from practical, working implementations.

I hope this helps. Good luck in your search.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.