Pre-requisites to pricing financial instruments in C++

[Quasar Chunawala]

Hi Professor Duffy/Nyugen/all,

I am an MFE aspirant and plan to apply for June '17 course at Singapore. I have a copy of your books -

• Introduction to C++ for financial engineers.
• Financial instrument pricing using C++.
• Finite difference methods.

My aim is to get upto speed before I join the college next year. I have glanced at Mark Joshi's reading list. My quick question is, should I go about learning the Martingales approach or the PDE approach? Ideally, I would like to learn stocal and theory, but also become adept at programming and pricing instruments in C++. Also, which approach do schools take? What makes a good quant?

Right now, I am self-studying some essential skills - probability, real analysis.

Quick background.
I am an engineer in CompSci. I worked as a coder (but used a procedural language not OOPS) for 5 yrs. I have also appeared for CFA level 3, and possess decent financial instrument pricing skills. My current job, requires me to have working knowledge of BASEL CR, MR, CVA charge.

Thank you,
Quasar.