Recent content by Daniel Duffy

Sounds like a good idea, TBH I haven't studied MCMC. What about MLMC? Maybe MCMC is similar. https://en.wikipedia.org/wiki/Multilevel_Monte_Carlo_method I would say that doing a modular approach in Python pays dividends going forward in your career. A remark: the MC architecture is the test...

One idea: Monte Carlo option pricing in Python based on solutions in C++, C#. https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10647

AI Agents!! @Paul Lopez // we did some basic stuff on agents 20 year ago ... not easy.

I don't use/need it.. What about this new stuff!!

Nothing wrong with SW engineering. Performance can be a requirement for many applications. In a sense, the maths is not the most critical part(?) C++ is still vital I reckon.

DeepSeek's libraries https://www.deepep.org/

But maybe parallel MC ? Also done in Advanced QN C++. @MikeLawrence

Anti-pattern and bad practices in real-life software projects We present the following seven patterns: BIG BALL OF MUD THROWAWAY CODE PIECEMEAL GROWTH KEEP IT WORKING SHEARING LAYERS SWEEPING IT UNDER THE RUG RECONSTRUCTION The real problem with THROWAWAY CODE comes when it isn't thrown away.

https://www.datasim.nl/onlinecourses/77/distance-learning-advanced-c-for-computational-finance-and-derivatives-pricing

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C# is much better than Java for quant stuff (Java is good for other things). C++ and C# are close. Many shops use C# because its many advantages. C# for Financial Markets Daniel J. Duffy and Andrea Germani C# is a modern object-oriented programming language that runs under the Microsoft .NET...

In the QN C++ course we use Euler scheme for Black Scholes. It's easy but 1st order. Now, ADE is just as easy to program. Could be an exercise next version? Let me know. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1552926 @APalley @Paul Lopez

My 2022 book on PDE/FDM for finance is useful in this context And I have C++ code for all schemes. https://www.linkedin.com/pulse/upcoming-book-pde-methods-finance-planned-date-december-daniel-duffy/?trackingId=sQvR8%2Bg6RsKMnBIebUcztA%3D%3D

Fantastic! Actually, there are 2 modules on Monte Carlo and FDM 101 to do in C++. After that you are ready for Adv FDM and I can coach you how to set up the fancy schemes and program them in "C++" if you like idea.