Recent content by DailyVaR

  1. DailyVaR

    COMPARE IIT MMF or NYU-Poly MFE, which one I should go?

    The answer is that you can't. That being said, the pre-requisite for Stochastic Calculus is Quantitative Methods a 3.0 credit class that runs the full semester. Quantitative Methods has been over-hauled this semester to include a lot of the intro/basic material normally covered in a regular...
  2. DailyVaR

    COMPARE IIT MMF or NYU-Poly MFE, which one I should go?

    You guys need to use a thing called Google. It will answer a lot these questions. If one graduates from NYU-Poly today, one will get a degree from "Polytechnic Institute of NYU." Once the schools merge, it will be just "New York University." Poly will be converted into one of the countless...
  3. DailyVaR

    Nvidia - Cuda Toolkit for options pricing

    I feel vindicated today. I found out that IBM is dropping the Cell processor as reported by this Ars Electronica article. One particular point that I brought up appears in the article. Boys and girl(s)*, its 2010. Do we want to spend the next two years before the end of the world...
  4. DailyVaR

    How to combine C++ and C# in Visual Studio?

    I've looked into this same exact problem a few months ago. These suggestions are good ideas. Personally, I would avoid COM because I think it ancient technology that should not be perpetuated in 2009. PInvoke is kind of kludgy but its incredibly easy and fast to test, assuming your code...
  5. DailyVaR

    Anyone upgrading to Windows 7?

    I've been using Windows 7 on my 1 Ghz underpowered ultralight laptop for a few months now. It runs much better than Vista which was originally installed on it. Visual Studio 2008 runs fine. BTW, I just installed OS X 10.5 too and it runs fine too. :)
  6. DailyVaR

    Nvidia - Cuda Toolkit for options pricing

    I have written pricing code for CUDA, been to the IBM Cell Processor workshop in Austin and looked into FPGA development . I also spent a 5+year on x86 microprocessor design using Verilog so hardware design on an FPGA is not foreign. The numerical differences between platforms are quite...
  7. DailyVaR

    Please suggest a perl book

    If you are very familiar with Awk or regex AND scripting languages (bash, sh etc), then you can get away with just reading the man pages. Sections of the O'Reily book are lifted directly out of the man pages. That Larry Wall sure is a lazy. :)
  8. DailyVaR

    Longstaff-Schwartz on GPU

    Simulating asian options is quite easy considering Nvidia has already implemented a Monte-Carlo based option pricer. You extend the number of random number draws from a single period to multi-period: for example, instead of N scenarios its now M periods x N scenarios. Now you map each CUDA...
  9. DailyVaR

    Longstaff-Schwartz on GPU

    Anyone benchmark their implementations of Longstaff-Schwartz for a vanilla American option? I'm looking at doing a NVidia CUDA implementation but I am curious how long the run-times are for a standard C++ CPU implementation. FYI, I've been getting 50x speed-ups for Asian options.
  10. DailyVaR

    COMPARE Columbia MFE vs Columbia Math Finance

    Isn't Derman in the IEOR department? Nuff said.