A brief website map:
Since the summer of 2013 I moved to Singapore with my family and started “Quant Island” a quantitative-analysis consulting firm providing expertise to companies worldwide. The new firm will focus on creating new models for pricing functions, risk analytics, and performance measurement tools. Also, I will perform in-person and web training on advanced topics in quantitative analytics: risk modeling, fundamentals of derivative pricing, and fixed-income attribution for both performance and risk. If you would like to work with Quant Island, please let me know on my contact page.
Most people start to use QuantLib after they become familiar with Quantitative Finance, usually because they want to become involved in the quant community. In recent years, thanks to the excellent work done on the QuantLibXL add-in, it is possible to start using QuantLib even without having any programming experience. Hence, it makes a lot of sense to learn Quantitative finance and QuantLib at the same time.
On the QuantLib website you can read
|Students could master a library that is actually used in the real world and contribute to it in a meaningful way. This would potentially place them in a privileged position on the job market.|
This is not the only reason why a student should learn QuantLib, I can think of few more reasons:
I am sure you can think of other reasons, drop me a line if you want to share them with me.
After more than ten years as a professional researching and writing software for pricing and risk management of exotic financial instruments, I finally had the opportunity to share part of my knowledge with the students at the University of Milan-Bicocca in the Advanced Derivatives class.
In recent years I had already been doing internal training at StatPro using that terrific instrument that is QuantLib and in particular using the QuantLibXL add-in, hence, it became very natural to write the class material using many of the tools that QuantLib offers.
I created this website primarily for my students, however, I soon found out that many more people were interested in learning (or teaching) Quantitative Finance using the same tools I used. I want to share the material that I use in class so that it might be useful to other people. Please provide feedback to help me to improve the lectures.
There are a number of reasons for which QuantLib should be used for teaching actual classes: