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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.

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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.

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  • $\begingroup$ Thanks very much - this is very helpful. Would you also know (as a second step) of any open source projects or forum's where I can see which projects are going on, specifically in the derivatives pricing field - say for example projects similar to Quantlib. This may also help to get an understanding of what's going on and relevant. Would Github be the place for this as well? Thanks again for your response. $\endgroup$
    – Don Shanil
    May 24, 2020 at 6:22
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    $\begingroup$ @DonShanil I would say GitHub. Firstly, you can contribute to any project on there (assuming they accept your commit). Secondly, you could fork a project into your own repository and add to it for your own needs. That would be a way you could display your own body of work as one that adds value to existing projects. A third way would be to write your own option pricing model and host it there and show it to an interviewer. $\endgroup$
    – amdopt
    May 24, 2020 at 15:27
  • $\begingroup$ Thanks mate. Appreciate taking the time to answer. Cheers. $\endgroup$
    – Don Shanil
    May 26, 2020 at 7:05

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