Daniel Duffy

I was born in Drogheda, Ireland in 1952. My degrees are B.A. Mod (1975) in pure mathematics, MSc (1977) in the Finite Element Method and a PhD (1980) that was concerned with the discovery and application of robust Finite Difference schemes for convection-diffusion partial differential equations and problems with boundary layers. Some years later I realized that the same schemes could be used to find accurate approximations to the Black Scholes PDE and thus resolving some of the problems associated with other well-known methods. I lived and studied in Pavia (Italy) and Nijmegen (the Netherlands) for several years.
In 1980 I entered industry and worked on various projects associated with numerical analysis, software development and engineering: heat transfer and radiation applications, fluid flow, Computer Aided Design, oil and gas. At the time many of the applications were developed in Fortran and C. Most of the systems were enterprise-wide.
Founded Datasim in 1987. This is a software developer and training company and it organized the first C++ training course in the Netherlands in 1989. In the succeeding years we developed one of the first C++ libraries for CAD. Worked on an early version of a Risk system for a Dutch bank in 1992. The system used C++ and design patterns. Datasim also developed several other technical software systems in this period. Since 1999 I have been concentrating on the application of numerical and computational methods to finance. In particular, finite difference and Monte Carlo methods are important as well as C++ and C#. We work with clients to design and implement their systems. The focus is on producing robust schemes that are subsequently implemented in a programming language.
Specialties:Numerical Methods (PDE, MC, FDM, FEM) for Computational Finance
C++, C#, Boost, Multithreading
Design, Patterns
Training and teaching for Computational Finance

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