Programming Languages and Tools
Over the years, I have used many programming languages to solve all sorts of problems. During the PhD, I have mainly used SAS and Matlab. When working for the industry, I used VBA for Excel, Perl and SQL. Additionally, sometimes I integrate multiple languages to solve one problem.
 Daily Realized Volatility from High Frequency data (multigrid): SAS program.
 Extracting outofthemoney options for the crosssection: SAS program.
2. Matlab
Matlab is a very good software for numerical computation. It is good to test algorithms and does not need to be compiled like C. I have used it in both worlds, academic and practitioners. What I like the most is the be able to write the mathematical formulas in Matlab just as they look on paper. It does not always happens, but I have seen it many times. Moreover, Matlab has thousands of builtin functions that make my life easier. Find below the code of papers I have replicated using Matlab.

"Approximating American Option Prices in the GARCH Framework", 2003. Duan, Gauthier, Sasseville and Simonato  Journal of Futures Markets.
 Computing moments of NGARCH: [ MontecarloGarch.m ] [ American_Option_Garch.m ]
 Replication: [ example.m ] [ gap.m ] [ third_r2.dll ]
 Extension of the paper with Johnson Curves: [ example_jsn.m ] [ johnson_pdf.dll ]
 "An Explicit Finite Difference Approach to the Pricing of Barrier Options", 1998. Boyle and Tian  Applied Mathematical Finance.
 To price barrier options is not trivial. These videos show the price of barrier option using binomial trees and trinomial trees. Depending on the number of steps there might be big price differentials.
 Using finite differences, as the paper proposes, leads to a good approximation of the true price when the number of steps are increased.
 Replication (Use main.m file): [ Replication.ZIP ]
3. Perl
Perl is a free software that is very efficient to parse large text files (more than 1GB). Perl uses regular expressions to recognize text patterns so that relevant information can be extracted. While working at the bank, I had to extract CDS quotes for 300 companies (that's before Markit Partners existed) from traders' emails. I only had two days to do it and the amount of emails and quotes made this task very challenging. Bloomberg stores emails for the whole bank on a text file on a daily basis. Using Perl, I was able to extract relevant CDS quotes for each company to then price the CDS book at market prices. Find below the Perl code.
4. VBA
VBA is the programming language of Microsoft Office tools. I have mainly used it to create desktop applications. Find enclosed a tool that extracts correlations for given risk factors, computes ValueatRisk given the greeks (Delta, Gamma, Vega, Rho) of those factors and performs a principal component analysis of the correlation matrix. Find below the Excel desktop calculator programmed with VBA.

Microsoft support site for VB: MSDN.
 Desktop Calculator in Excel (Click on Load Correlations to start)
5. C
If you need to speed up your numerical computations, C (or C++) is the solution. Given that the code runs in machine language, its speed is unbeatable. Find below the replication of a paper developed in C.
 Replication of "The GARCH Option Pricing Model", 1995 by Duan  Mathematical Finance.
6. Working simultaneously with two or more languages
 SAS, Matlab and MySQL
At some point in my research, I computed the risk neutral moments (as in Bakshi, Kapadia and Madan (2003, RFS)) for the cross section of options on a daily basis. I solved the problem by 1) extracting the data from WRDS using SAS, 2) loading the data from SAS into MySQL, 3) having Matlab read the data from MySQL and compute the risk neutral moments, 4) loading back the data from Matlab into MySQL and 5) getting the risk neutral moments into SAS from MySQL. It took one week of machine time to run this process. Find below a PDF document on how to link these three packages as well as the code I used.
 A PDF document from Matlab Central on how to link Matlab and SAS.
 Load data from MySQL into SAS and viceversa: SAS program.
 Matlab program to compute risk neutral moments in MATLAB, get data from MySQL to Matlab and viceversa. This is the Matlab function to compute the risk neutral moments.
 Excel and SQL databases
 VBA code to access an external database.
 Matlab and C (Visual C++)