Search results

  1. Daniel Duffy

    Proving mathematics knowledge

    And C++ maybe also..
  2. Daniel Duffy

    Proving mathematics knowledge

    This (my) ODE/PDE course is on the UCB official list https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  3. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    A summary high-impact C++ features (personal view) C++11 is a version of the ISO/IEC 14882 standard for C++ and it replaced C++03; it was later replaced by C++14. It is a major update to the language and its goals were to improve the quality in general, in particular promoting efficiency...
  4. Daniel Duffy

    C++ vs Rust

    Feels a bit like that. Analogy? If a house were built using different languages, then we get a Rust programmer to do the (low-level) plumbing work. C might be >> Rust?
  5. Daniel Duffy

    C++ vs Rust

    Just out of curiosity, I would be interested in technical (not idiosyncratic, altho' they exist as well) reasons for choosing Rust. I have 35 years C++ exposure and I learned essential Rust in about 5 days. In a sense it is an extreme mini C++. Channels have potential but they are nowhere...
  6. Daniel Duffy

    Profile Evaluation for 2025 MFE

    I am biased, but numerical analysis/methods is a very important skill here. https://www.datasim.nl/onlinecourses
  7. Daniel Duffy

    C++ vs Rust

    This looks interesting https://www.patterndiagnostics.com/memory-thinking-rust
  8. Daniel Duffy

    Looking for Career Advice

    I'm not the best person to answer, but numerical/applied maths and C++ is viewed positively. @achirikhin @Paul Lopez
  9. Daniel Duffy

    C++ vs Rust

    I understand. Have you tried some examples in Rust?
  10. Daniel Duffy

    Looking for Career Advice

    I would imagine that with a maths degree then Oxford, Imperial, Warwick might be good choices. In any case, it's a start. edit: C++ and Python are useful skills.
  11. Daniel Duffy

    Looking for Career Advice

    Which top university? TCD?
  12. Daniel Duffy

    C++ vs Rust

    It all seems less elegant than others. just a random remark.
  13. Daniel Duffy

    C++ vs Rust

    I knew you were going to ask about actix. I wrote 101 program in actix yesterday.
  14. Daniel Duffy

    C++ vs Rust

    The following code uses features from C++20 and QN Adv C++ course that uses Concepts // At this moment I have a vague idea on how I would do it in Rust; is it even worth the effort.. @APalley @MichaelLewis // Test101ActorConcepts.cpp // // Simplest example of a system. Context diagram...
  15. Daniel Duffy

    C++ vs Rust

  16. Daniel Duffy

    C++ vs Rust

    That's good summary. My hunch is that inside Rust there is an actor model trying to get out. But I fear that this is not good for producer-consumer pipeline programs. I have experimemented with Actors in C++, C# and Python. All nice stuff. Couldn't find much in Rust...
  17. Daniel Duffy

    C++ vs Rust

    https://www.dumpanalysis.org/MTR/Memory-Thinking-Rust-Reference-TOC.pdf
  18. Daniel Duffy

    Help needed: Unsure about what Quantitative Finance Program to choose

    I would learn QN C++. AFAIK Erasmus would not a very quanty university in the US sense. But check it out. NL tends to focus on the econometrics side of things. Utrecht uni and CWI have research quant students, but that's another story. In the old days, Nirvana was: work in R'dam, live in the...
  19. Daniel Duffy

    What books are you currently reading?

    Here is a nicely balanced book on SDE by two top numerical analysts https://epubs.siam.org/doi/10.1137/1.9781611976434 i.e. continuous space to discrete space (as it should be). Most books and articles on SDE give numerical methods short shrift... In fact, most books only tell half the story...
  20. Daniel Duffy

    New website/job-board for quant work

    "First Derivatives" originated in Newry, Co. Down, Northern Ireland.
  21. Daniel Duffy

    C++ vs Rust

    RUSTQUANT library https://crates.io/crates/RustQuant
  22. Daniel Duffy

    C++ vs Rust

    Any use cases, Paul?
  23. Daniel Duffy

    C++ vs Rust

    Bindings https://docs.rs/pyo3/latest/pyo3/ https://pyo3.rs/v0.21.2/
  24. Daniel Duffy

    Warwick or bristol for maths and cs? International student who has a scholarship from one uni (I want to work in Quant or AI/DS)

    25K is a lot if you don't have it. I recall my undergrad maths degree cost 300 per year.
  25. Daniel Duffy

    Python on Virtual Studio

    I use VS and Python .. never any problems in Release mode. So your program runs fine but it is the debugger you get issues with? We can chat.
  26. Daniel Duffy

    C++ vs Rust

    Some years ago when the giant dinos Corba and COM roamed the great plains and shared the spoils, then a clever chap had the brainwave of creating a common interface to them, meaning only 1 interface to learn. Due to heavy leaking they had to learn THREE interfaces! Go tell management. Rust and...
  27. Daniel Duffy

    C++ vs Rust

    SUMMARY OF POLL ON RUST
  28. Daniel Duffy

    Advice for Older Software Developer

    With your experience, you can leverage it. And age is probably an advantage, depending on the role. I reckon get foot in door could be an issue. Lattice-Boltzmann Method CFD using CUDA and C++ Not many who can say that.
  29. Daniel Duffy

    C++ vs Rust

    Option 2 of my poll has to do with actors (and an actor is not an object) 1, Actors use message passing ==> no shared data => problem solved? 2. Null references ==> non-issue in typical producer-consumer applications?? So, objects were NOT built for concurrent access, but actors are...
  30. Daniel Duffy

    ETH QF

    All of these in an economics degree?
  31. Daniel Duffy

    C++ vs Rust

    Quizzie 1. channels can be found in C++ Actor libraries Asynchronous Agents Library 2. C++ Concepts are a superset of Rust traits. 3. Would you write a CAD library or Black Scholes option pricer in Rust? 4. How does Rust generics compare to C# generics or C++ templates? The follow-on...
  32. Daniel Duffy

    C++ vs Rust

    I'll let them argue among themselves over there:) but I see some use cases of interest to C++. 1. vanilla structs 2. generic structs 3 traits 4 channels You learn this in a week if you know the adv C++ course. No kidding.
  33. Daniel Duffy

    C++ vs Rust

    https://www.linkedin.com/feed/update/urn:li:activity:7198263640532074496/?commentUrn=urn%3Ali%3Acomment%3A(ugcPost%3A7198263639772930048%2C7198266111803478017)&dashCommentUrn=urn%3Ali%3Afsd_comment%3A(7198266111803478017%2Curn%3Ali%3AugcPost%3A7198263639772930048) @MichaelLewis
  34. Daniel Duffy

    C++ vs Rust

    Thank you. Memory stuff is the next target.
  35. Daniel Duffy

    C++ vs Rust

    Some generic classes and traits (using parametric polymorphism). struct Point<X, Y> { x: X, y: Y, } // Method definitions impl<X,Y> Point<X,Y> { fn x(&self) -> &X { &self.x } } impl<X,Y> Point<X,Y> { fn y(&self) -> &Y { &self.y } } // Traits...
  36. Daniel Duffy

    C++ vs Rust

    Nah, click "Watch on You Tube"
  37. Daniel Duffy

    C++ vs Rust

    C++20 versus Rust Good examples Now we agree ... C++ Concepts == Rust traits!!!
  38. Daniel Duffy

    Advice for Older Software Developer

    Knowing maths is obviously an advantage https://www.datasim.nl/onlinecourses
  39. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Depends. I knew C++20 so going to Rust was easyish. I suppose you can learn Rust before C++. I never went down that road.
  40. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Why not just learn Rust _and_ C++? Your post is a bit ambiguous, it is not precise. C++ Concepts were based on Haskell TYPECLASSES. But who cares now, it works. I know C++ Concepts and it then took me a day or so to learn Rust traits.. It takes 15 years before a technology becomes accepted.
  41. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Maybe they got into the wrong company when they were younger.
  42. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Hoare described Rust as targeted at "frustrated C++ developers"
  43. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Nope. Correlation is not causation! I spent the last 2 weeks experimenting with Rust code and benchmarking with C++ (BTW I was the 1st C++ programmer in the Netherlands in 1990 and I originated the QN C++ courses). summary: Rust is rather incomplete compared to C++, a kind of carbon copy of...
  44. Daniel Duffy

    C++ vs Rust

    A safe pair of hands. // unsafe code 101 unsafe fn dangerous() {} unsafe { dangerous(); } // unsafe code, raw ptr and dereferencing let mut num = 5; let r1 = &num as *const i32; let r2 = &mut num as *mut i32; //println!("r1 is: {}", *r1); unsafe {...
  45. Daniel Duffy

    C++ vs Rust

    “When I was a boy of 14, my father was so ignorant I could hardly stand to have the old man around. But when I got to be 21, I was astonished at how much the old man had learned in seven years.” Mark Twain A little learning is a dangerous thing ; Drink deep, or taste not the Pierian spring ...
  46. Daniel Duffy

    C++ vs Rust

    Indeed; that's the 64 million dollar question!
  47. Daniel Duffy

    C++ vs Rust

    In cause some people missed this quote This is a symptom of a larger immaturity in the crypto space. Crypto is replete with recent students who chase after buzzwords and new fads but can't see the forest from the trees. They don't understand the pitfalls of experimenting with a new technology...
  48. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Thanks good concrete information. Thanks.
  49. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    C# is TIOBE language of the year 2023. It is used, people don't shout about it. Very good language.
  50. Daniel Duffy

    C++ vs Rust

    It is probably a junior version of Erlang?
  51. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Soon Rust will be "just another language". And lots of legacy code. When can we expect pricing libraries in Rust? Or ML?
  52. Daniel Duffy

    C++ vs Rust

    Random question: why is there a plethora of Actor "frameworks" in Rust?
  53. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    I am a veteran in this industry and I know that computer scientists love new technologies. Many (technolgies) turn out to be fads. (caveat: I am not CS). In 1991 there were at least 10 object-oriented languages. All the functionality in Rust is in C++20 (and more). Rust and OOP is not there...
  54. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    Can you back up your claims? Not everyone is doing crypto. BTW I am working on a report/critique "If Rust is the answer, then what is the question?" (w/o handwaving or waffle). Rust is way down the list here #18. https://www.tiobe.com/tiobe-index/
  55. Daniel Duffy

    What's the Future of Programming Languages in AI and Quantitative Finance?

    What do you think yourself? Do you have hard evidence on Rust? Or from hearsay?
  56. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    Congratulations! General question, @Fangtong How did you find the usefulness of traits and C++20 Concepts in particular? Game changer and highly future-proof imo. Rust has exactly the same features, but lesser. It is lagging. @Devon Kaberna @Paul Lopez @APalley
  57. Daniel Duffy

    Quantitative Analyst, Developer, Strat: The Profession

    Welcome on Quantnet, Andrey! It's great to see you here.
  58. Daniel Duffy

    C++ vs Rust

    Coming up, Sir! A serious point I would like to addess is: "If Rust is the answer, then what is the question?" aka the right tools for the right job!
  59. Daniel Duffy

    C++ vs Rust

    In Volume II of book. This be Vol I.
  60. Daniel Duffy

    C++ vs Rust

    Good idea. This week I'm just kicking the tyres (like uchi komi) and then I can go to a small app, e.g. Black Scholes (call C++/C maths function from Rust). yes?? Rust does not have much OOP support .. Our goal is eventually interop.
  61. Daniel Duffy

    C++ vs Rust

    I spent the last 3 days doing Rust programming for a bit of relaxation (am almost an expert by now :), but being my age means I'm a fast learner). I plan to spend a few more days to suss out more features. It is just a C++20 lookalike; if you know C++20 (and you do) then it is a piece of cake...
  62. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    Raiffeisenbank-Boerenleenbank. Boer == farmer.
  63. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    Another question: will Rust be the new replacement for C/C++?
  64. Daniel Duffy

    Education advices

    I don't know, I am not in academia. But business studies is almost a million miles from maths imo.
  65. Daniel Duffy

    Education advices

    yes, I would do a maths degree.
  66. Daniel Duffy

    C++ vs Rust

    Developers use Rust for general programming, web development, data science and video gaming, as well as for augmented reality (AR), virtual reality (VR) and blockchain projects. OK, any other applications?
  67. Daniel Duffy

    C++ vs Rust

    Question: has anyone written an in-depth, "scientific" comparison of Rust and C++ at a level higher than "factional cheerleading" (no offence intended :-)? I found blogs like this. https://www.techtarget.com/searchapparchitecture/tip/Rust-vs-C-Differences-and-use-cases In particular...
  68. Daniel Duffy

    C++ vs Rust

    Maybe it's for emphasis?
  69. Daniel Duffy

    C++ vs Rust

    fn main() { println!("Hello, world!"); }
  70. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    A general related remark: Remark on code speedup. The prevailing "mindset" is to write sequential (single-threaded) code and to profile it to locate performance bottlenecks. Then we pepper the code using #pragma and @decorator etc. This is fine-grained paralled pattern (e.g. parallel loop)...
  71. Daniel Duffy

    UCB MFE UCB MFE 2025 Spring

    This ODE/PDE course is on recommended list https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  72. Daniel Duffy

    OS for quant work?

    A good developer doesn't care what the OS is.
  73. Daniel Duffy

    OS for quant work?

    You are not even wrong. Depends on the environment in which you are working.
  74. Daniel Duffy

    Regarding the use of ChatGPT in this course

    I just caught ChatGPT-4 blatantly lying about the differences between user-level and system-level OS threads. When I confronted it, it confessed, apologized, and thanked me for the correction. Students, beware: Unless you can tell the right from the wrong, assume that ChatGPT-4 lies to you.
  75. Daniel Duffy

    MATH COURSE ADVICE NEEDED

    That's what I would do. When I was OP's age, there was no C++ course, so I said #$&&2, I'll make one myself.
  76. Daniel Duffy

    MATH COURSE ADVICE NEEDED

    I offer Maths courses for MFE etc. e.g. ODE/PDE, Numerics (Students Euro 1500 1st course, Euro 995 each course after first course). https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials
  77. Daniel Duffy

    ChatGPT

  78. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    Reminder ODE/PDE online course.
  79. Daniel Duffy

    C++ vs Rust

    "To prevent the unexpected execution of batch files, you should consider moving the batch files to a directory that is not included in the PATH environment variable," Ryotak advised. "In this case, the batch files won’t be executed unless the full path is specified, so the unexpected execution...
  80. Daniel Duffy

    What books are you currently reading?

    Firsy, we intend documenting it in book form. I get quite a number of requests for these kinds of application-oriented (for want of a better name) courses. a lot of effort and work..:whistle:
  81. Daniel Duffy

    What books are you currently reading?

    My feeling is if you know C++ then learning Rust is easy. e.g. Rust is a multi-paradigm, general-purpose programming language that emphasizes performance, type safety, and concurrency. It enforces memory safety—meaning that all references point to valid memory—without a garbage collector. To...
  82. Daniel Duffy

    What books are you currently reading?

    https://www.amazon.com/Rust-Programming-Language-Steve-Klabnik/dp/1593278284 Just in case Rust <-> C++ interop becomes the next hot topic.
  83. Daniel Duffy

    C++ vs Rust

    Rust traits Similar to C++ Concepts https://doc.rust-lang.org/book/ch10-02-traits.html
  84. Daniel Duffy

    Rebellion Research going against BARUCH

    “Do not judge, or you too will be judged. For in the same way you judge others, you will be judged, and with the measure you use, it will be measured to you." Matthew 7:1-6
  85. Daniel Duffy

    Rebellion Research going against BARUCH

    As an author, I would suggest doing some grammar checks. For example, " We will not." should be "we shall not". It could be structured better. Personally, I hate the widespread use of commas to structure sentences.
  86. Daniel Duffy

    C++ vs Rust

    We should entertain all scenarios, one of which Rust is and will remain a niche product. It may have vocal cheerleaders. Due diligence and all that. Of course, I still think Rust-C++ interop is important.
  87. Daniel Duffy

    C++ vs Rust

    Just write Rusty wrappers. I rest my case. QED.
  88. Daniel Duffy

    C++ vs Rust

    Thus, C code is wrong, the root cause. Clear.
  89. Daniel Duffy

    C++ vs Rust

    I think pricing libraries will never be (re)written in Rust. No way. C++ is forever here. Just like rewriting Fortran libraries in Java.
  90. Daniel Duffy

    C++ vs Rust

    8. Rust to C use cases. Clearly a case of legacy (incorrect) code?
  91. Daniel Duffy

    C++ vs Rust

    So, Rust is a silver bullet? If you are getting segfaults with smart ptrs probably means you are doing something wrong.. At the least, this should be investigated. But the core question remains: what is the root cause of this fiasco?
  92. Daniel Duffy

    C++ vs Rust

    Anyone using Rust/Python interop? https://www.infoworld.com/article/3664124/how-to-use-rust-with-python-and-python-with-rust.html
  93. Daniel Duffy

    C++ vs Rust

    General Remark: wondering why developers have issues with pointers? 1. Are you using raw or smart pointers? 2. Incorrect use of raw pointers (code is a ball of mud with no centralised control). 3. Wrong design, no modular decomposition. 4. Developer does not fully understand pointers/using...
  94. Daniel Duffy

    C++ vs Rust

    one more thing.. If Rust is the answer, what is the question, i.e. why all the hullabaloo? Thinking out loud. 1. Better memory mgt than C++. 2. Better language features than C++ (at face value, can't imagine that). 3. Call C++ from Rust(*). 3A. vide versa. 4. Rust's channels look promising...
  95. Daniel Duffy

    C++ vs Rust

    Volume II is the interop book. Am thinking about Rust/C++. What are the uses cases? 1. Call C++ from Rust 2. Vice versa 3. Using Rust Actor frameworks? no idea 🙃
  96. Daniel Duffy

    C++ vs Rust

    Do you think I could quickly pick up Rust? Interop is the key issue. Can I use this thread if I am stuck? PATH stuff?
  97. Daniel Duffy

    C++ vs Rust

    How to install Rust on Windows? @Paul Lopez
  98. Daniel Duffy

    C++ vs Rust

    What about C++ Rust interop https://google.github.io/comprehensive-rust/chromium/interoperability-with-cpp.html Q What is CXX A C++ rotated \pi /4 // CXX was coined by John Carolan http://www.edm2.com/index.php/Glockenspiel_C%2B%2B...
  99. Daniel Duffy

    C++ vs Rust

    Our manuscript is in the copy/print edit phase. Contents are ready. We discusss Cython. I Volume II (2025 hopefully) ==> more interop e.g. pybind11, Boost Python.
  100. Daniel Duffy

    C++ Online Programming Cert Testimonials

    Thank you! My company Datasim was probably the first OOP/C++ in the Netherlands and we worked with industrial/business clients from the outset. Our designs were stress-tested in real-life environments. And having a mathematical background and having worked in industry doesn't do any harm :) If...
  101. Daniel Duffy

    C++ vs Rust

    never say never. Maybe it will take over in 10-20 years.
  102. Daniel Duffy

    C++ vs Rust

    Why not do both? A big miss in C++ is support for asychronicity, events, signals, Actor model. TBH, saying that Rust is great for memory management is not all that exciting.
  103. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    A general remark on learning. It is always human to want to cram in as much stuff as possible, but this is not a good idea for at least 4 reasons. Compare to getting a black belt from blue belt level. 1. Blue to brown 2. Practice as a brown for a year 3. Brown to black.
  104. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    (boost test, google test, ...) Good idea. A concern for me is which Boost libraries are alive and kicking; some are on sabbatical, rigor mortis etc. https://www.boost.org/doc/libs/1_34_1/libs/test/doc/index.html
  105. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    C++ is a C++ is a living organism. We try to keep up. What Boost C++ libs do in 2016 C++ 26 does in 2026 (Reflection).
  106. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    All this stuff has been extensively documented. I think having a look at the work of the late Mark Joshi is good https://fbe.unimelb.edu.au/__data/assets/pdf_file/0011/2591732/MARK_JOSHI_SSRN-id2277854.pdf
  107. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Do you mean? BinomialLatticeStrategy* getStrategy(double sig, double r, double k, double S, double K, int N) { cout << "\n1. CRR, 2. JR, 3. TRG, 4. EQP, 5. Modified CRR:\n6. Cayley JR Transform: 7 Cayley CRR: "; int choice; cin >> choice...
  108. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Is your question "what are the other methods?" I programmed those methods somewhere I vaguely remember.
  109. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    This code is from my 2018 C++ book for barrier options! On a pedagogical advice to everyone , learn the maths of the binomial method and program it yourselves instead of copying from all kinds of (possibly dodgy) sites. My two cents..
  110. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    There are quite a few models for u, d and p: CRR, JR, TRG, EQP etc.
  111. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    which part of my response was "rude"?
  112. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    but just get surprised above "u" are different than what we learned learned in CFA or even CQF LOL what do those guys use? u is up, d is down
  113. Daniel Duffy

    Lattice Model Financial Instrument Pricing Using C++

    Looks like code from one of my books? Which problem are you working on, exactly?
  114. Daniel Duffy

    Struggle as a Beginner

    The first 2 modules are difficult indeed because it's C and a kind of survival guide to be honest. In the past (and courses) people tried to learn C++ w/o C savvy. That does not work. Like learning to fall before the real work. and then the next steps (do each step 3 times). I reckon Ruska...
  115. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    An emerging design pattern, an improved 3-layer model for OO inheritance. This exposes a number of flaws in traditional approaches to OOP, plus a multiparadigm resolution thereof. You could try designing it using C++20 Concepts.:ninja: @APalley @Paul Lopez @Andy Nguyen
  116. Daniel Duffy

    Struggle as a Beginner

    The C part is the most tricky. It's like learning grammar.
  117. Daniel Duffy

    Advise on MFE programs in the Netherlands

    Don't want to scare you , but.. The political/work situation but it's all becoming a tad anti-immigrant. https://www.dutchnews.nl/2024/03/ministers-set-up-secret-operation-to-keep-asml-in-nl-telegraaf/
  118. Daniel Duffy

    Regarding the use of ChatGPT in this course

    Never too old. BTW C also has pointers.
  119. Daniel Duffy

    Regarding the use of ChatGPT in this course

    ChatGPT is risk averse!
  120. Daniel Duffy

    Regarding the use of ChatGPT in this course

    Shows how dumb AI is (not joking).
  121. Daniel Duffy

    Regarding the use of ChatGPT in this course

    If you want to use Gemini you must be over 18!
  122. Daniel Duffy

    Programming experience for MFE

    And who knows what ML will look in 5 years time?
  123. Daniel Duffy

    C++ Online Certificate Students' intro thread

    You'll be fine; the TAs are very helpful :)
  124. Daniel Duffy

    A few questions about transitioning to quant research after a PhD in math

    Given ... my desire to enhance my coding skills, C++ and Python are popular.
  125. Daniel Duffy

    ChatGPT

    As Nvidia hits $2 trillion, billionaire Marc Rowan’s asset manager Apollo calls AI a ‘bubble’ worse than even the dotcom era https://finance.yahoo.com/news/nvidia-h ... OUzgY4qnCO
  126. Daniel Duffy

    Optimization's place in quant fin.

    Optimisation is soo important https://m.media-amazon.com/images/I/61RMTGsXzPL._SY466_.jpg https://www.datasim.nl/application/files/5915/4999/4170/DL_Applied_Numerical_Methods_II.pdf “Nothing takes place in the world whose meaning is not that of some maximum or minimum.” ― Leonhard Euler
  127. Daniel Duffy

    Optimization's place in quant fin.

    Big area. This might be one entry point
  128. Daniel Duffy

    SHOW ME THE CODE !

    It's not going to happen, methinks. Mac will always be associated with DTP in my environment. https://en.wikipedia.org/wiki/Desktop_publishing Wintel is for engineering.
  129. Daniel Duffy

    Why isn’t Economics Popular?

    A bit off topic, nuance is As George Bernard Shaw said: "England and America are two countries separated by a common language" Oscar Wilde-> "We have really everything in common with America nowadays except, of course, language."
  130. Daniel Duffy

    Why isn’t Economics Popular?

    Also, im going to make an assumption given your spelling of "programme" that you are either in the eu or uk. This is the correct spelling in this case. Bachelors Economics programmes can give you exposure to ODEs and PDEs, Maybe not hard enough for more hard quant role...
  131. Daniel Duffy

    MFE Math Prereq for Economics Background

    ODE/PDE for Economics students moves maths to next level https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  132. Daniel Duffy

    I found Quantnet's doppelgänger

    “Of course I plagiarize. It is the privilege of the appreciative man.” ― Oscar Wilde, Only Dull People Are Brilliant at Breakfast and maths...
  133. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    What kinds of C++ courses? The internet is (used to be) full of C++ courses. // btw wrong thread; this is about articles, not courses. @okay
  134. Daniel Duffy

    Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

    The Black Scholes option pricer in Fortran95 // DJD real*8 Function pdf(x) real*8 x,A A = 1.0/Sqrt(2.0*3.1415) pdf = A * Exp(-0.5*x*x) return end real*8 Function cdf(x) real*8 DPI,x,L,k,a1,a2,a3,tmp,pdf...
  135. Daniel Duffy

    Advise on MFE programs in the Netherlands

    Yes, econometrics seems to be quite strong. I am not an economist. There is a big skills shortage here. Having said that, it is almost impossible to find somewhere to live. Amsterdam is booming. The (extreme?) right-wing PVV got 37 votes at recent general election, mainly based on an...
  136. Daniel Duffy

    Rebellion Research going against BARUCH

    There is only one thing in life worse than being talked about, and that is not being talked about. Oscar Wilde Baruch must be doing something right. :ninja:
  137. Daniel Duffy

    Advise on MFE programs in the Netherlands

    I am not really familiar with these programs. I know more about US and UK degrees, Do you want to work in a bank or in trading? Amsterdam is quite small.
  138. Daniel Duffy

    C++ or Python?

    https://www.datasim.nl/onlinecourses/117/distance-learning-object-oriented-and-functional-programming-in-python-language-libraries-and-modern-design-patterns
  139. Daniel Duffy

    C++ will be used for the next 50-100 years in financial services

    There are many people in finance who are not from these universities.
  140. Daniel Duffy

    Looking to sharpen my C++ skills, but no interest in MFE

    Both C++ courses are beneficial irrespective of finance examples (which are only in the last 1-2 modules, but also useful to learn how to design).
  141. Daniel Duffy

    Options with PhD in Math

    As far as PDE is concerned, convection-diffusion is importat. I would learn C++. https://www.datasim.nl/books
  142. Daniel Duffy

    Complex Analysis

    LATEX
  143. Daniel Duffy

    Options/Career Advice for a postdoc in differential geometry possibly leaving academia

    The topics you mention are wonderful (I took most of them at university, I loved FA) but not directly applicable to finance IMO. But with your maths backgound, it's very impressive! Can you program, e.g. solve Black Scholes PDE numerically ? etc. see random example
  144. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    I always knew I was a nice person.:eek:
  145. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    It's just a reminder. You've posted ten thousand messages and received five thousand likes. You are a great human being. You received 5,000 likes. You must be very popular around here.
  146. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    ODE/PDE course open for registrations 2024. Euro 1500 student price. After that Euro 995 per course. https://www.datasim.nl/onlinecourses
  147. Daniel Duffy

    Question C++23

    A follow-on remark: a number of useful features in C++11 (e.g. enable_if etc.) can now be done much more easily in C++20 Concepts. C++20 Concepts are mathematically quite robust.
  148. Daniel Duffy

    Question C++23

    And don't forget C++26 LOL https://en.cppreference.com/w/cpp/compiler_support/26
  149. Daniel Duffy

    Question C++23

    Haskell Typeclasses == C++20 Concepts. haha
  150. Daniel Duffy

    Question C++23

    C++14 was a kind of fix. C++17 had some nice stuff. C++23 is beginning to converge with Haskell.
  151. Daniel Duffy

    Question C++23

    That's a good thing! A while back (before C++11) C++ was almost rigor mortis. Good news! new stuff coming up for the next 50 years :cool:
  152. Daniel Duffy

    Question C++23

    C++23 Many low-level syntaxes, defect reports etc. https://en.wikipedia.org/wiki/C%2B%2B23 In February 2020, at the final meeting for C++20 in Prague, an overall plan for C++23 was adopted:[3][4] planned features for C++23 are library support for coroutines, a modular standard library...
  153. Daniel Duffy

    Question C++23

    Don't wait; start now. 95% of real-life C++ is C+11, so QN is already years ahead. And knowing C++20 you can easily learn C++23 on your own.
  154. Daniel Duffy

    SHOW ME THE CODE !

    or even int x = 4; int z = [&r = x, y = x+1] { r += 2; // set x to 6; "R is for Renamed Ref" return y+2; // return 7 to initialize z }(); // invoke lambda
  155. Daniel Duffy

    SHOW ME THE CODE !

    Scary code. Why not use TLS? BTW lambdas are not robust (e.g. capture by reference). https://www.geeksforgeeks.org/thread_local-storage-in-cpp-11/
  156. Daniel Duffy

    New Book: Multiparadigm Design Patterns in Python, C++ and C# by Daniel J. Duffy and Harold Kasperink (Datasim Press December 2023)

    Chapter 20 One Step Beyond: Component-based Software Development The purpose of abstraction is not to be vague, but to create a new semantic level in which one can be absolutely precise. Edsger Dijkstra @Paul Lopez @APalley
  157. Daniel Duffy

    Additional tips on getting quant jobs

    Quantnet C++ C# And some maths.
  158. Daniel Duffy

    How to verify your QuantNet account

    What happens if people run out of space?
  159. Daniel Duffy

    UCB MFE Essay Question

    The second question is ambiguous. It can be interpreted in different ways. edit: you could ask them to please clarify.
  160. Daniel Duffy

    High frequency trading

    https://en.wikipedia.org/wiki/High-frequency_trading
  161. Daniel Duffy

    Deep Learning (DL) and Partial Differential Equations (PDE)

    I don't think so; it is not based on reality. No future, at least not the way CS is approaching it. I am not a betting man, but my money would not be on it.
  162. Daniel Duffy

    Benefit of more math

    The options are: 1. Start now 2. Don't start now It's your choice in life.
  163. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    All you wanted know about parabolic PDE (originally in Russian Mathematical Survey 1962) Learn this and will then be few PDEs that intimidate you.
  164. Daniel Duffy

    Happy holidays

    Have a good one. It was a great Winter Solstice.
  165. Daniel Duffy

    C++ & Python

    Coming up in our new book: Python AND C++ interop there's more where that came from ;) It's the future :-)
  166. Daniel Duffy

    Counting CPU Clock Cycles

    Is this a compute-intense parallel program or some kind of asych event flow app, like a data feed pipeline? So, what is the _problem_ ? edit: is throughput more important; thread start/stop is costly.
  167. Daniel Duffy

    Counting CPU Clock Cycles

    Are you using fine-grained or coarse-grained parallelism?
  168. Daniel Duffy

    Counting CPU Clock Cycles

    I don't do much of this in general apart from coarse-grained parallelism ball park stuff ... What about Boost? just a guess? https://www.boost.org/doc/libs/1_80_0/libs/timer/doc/cpu_timers.html Plan B ... a commercial product .. doesn't grow on trees.
  169. Daniel Duffy

    Benefit of more math

    yeah, Euler did his best maths when he turned 60!
  170. Daniel Duffy

    Benefit of more math

    Start now :) I'm 71and still doing lots of maths.
  171. Daniel Duffy

    Benefit of more math

    Math 442 (Introduction to Partial Differential Equations): Rating: 70/100. Partial Differential Equations (PDEs) have their place in the quant finance realm, especially when modeling derivative pricing and other financial instruments. However, this course dives into a lot of mathematical theory...
  172. Daniel Duffy

    Benefit of more math

    Apart from grades, jobs etc. _now_ is the time (in your 20s) to learn deep maths. Later is too late.
  173. Daniel Duffy

    Benefit of more math

    https://www.datasim.nl/onlinecourses
  174. Daniel Duffy

    Which order to read these books?

    My books
  175. Daniel Duffy

    Multiverse Pricing Models

    Alan's chapter 5 has Step I: Standsardised SDE Step II: Discretize the SDE (Euler (x) and NR lattice (y), others?) Step III: HMM structures (construct Q_n(x) matrix) ?? Step IV: what's next? is that section 5.5's use cases? Fundamental data input? Final output?
  176. Daniel Duffy

    Multiverse Pricing Models

    I would like to this problem a bit of a whack in C++. Ideally, C++20 and possibly Boost C++ libraries. Is there a defined process (input-processing-output)? Some hints: First, you have to understand the problem. After understanding, make a plan.(algorithm) Carry out the plan. Look back on your...
  177. Daniel Duffy

    Multiverse Pricing Models

    Ciao Marco, The approach taken in this article (Monte Carlo in C#) might help (separation of concerns) is not a million miles away from the approach/recommendations here (especially Figures 1 and 2). A useful quiz: "align" your DFD with context diagram Figure 1 (or 2).
  178. Daniel Duffy

    Multiverse Pricing Models

    I looked at the DFD. At this stage I do not have enough information to go on. Some issues IMHO are: 1. The scope of the article is rather diffuse .. I would scope the problem to a well-known concrete problem and start again (e.g. take a 1-factor barrier option and work the whole process out A-Z...
  179. Daniel Duffy

    Multiverse Pricing Models

    Thanks, Marco. I'll study it. BTW I want to ask Alan a few questions as well on W forum. Crepi il lupo :)
  180. Daniel Duffy

    Multiverse Pricing Models

    A DFD is a no-brainer but how many people initially explain things to others in this way before grunge code, for example?
  181. Daniel Duffy

    Multiverse Pricing Models

    I will focus my feedback from now on QN :) Part 2 coming up soon.
  182. Daniel Duffy

    Multiverse Pricing Models

    Side remark; the design here has the same form as the project style in Baruch's Advanced C++ course. So, relevant to students here as well.
  183. Daniel Duffy

    Multiverse Pricing Models

    A 101 example could be to take the simplest (not too simple) and trace/paraphrase the steps from Input to Output "meeting" Simplex, Transition along the way i.e. data flow diagram, like Figure 2 in Chun's thesis. block diagram with a clear workflow. In this way, it should be easier to explain...
  184. Daniel Duffy

    Multiverse Pricing Models

    Prego Marco, This was my thinking as well. I'll go through your paper again in the light of your points 1), 2) above. I do have some (numerical) questions will pose in a couple days. // I used Bezier stuff when in CAD (I once designed a Pirelli tire with Bezier) and for holography, but the...
  185. Daniel Duffy

    How much do Math Course grades matter in MFE application?

    Maths is fundamental in general, and in particular.
  186. Daniel Duffy

    Undergraduate assessing progress

    QN C++ course gives a solid grounding in C++.
  187. Daniel Duffy

    Multiverse Pricing Models

    1. The scope, rationale, reader group, how the article is written (similar to Marsden's recommendation). The article does not flow yet, it is a description. 2. Technical stuff (density, simplex, transition matrix, Bezier etc.) 1.continued. I think the goal should be to restructure the article...
  188. Daniel Duffy

    Multiverse Pricing Models

    Marco, I use this below all the time, in maths, for C++, for books etc. (my very first _proposed_ chapter of my very first book From Chaos to Classes (1996) had > 40 pages 🤖) Some initial tips. https://en.wikipedia.org/wiki/How_to_Solve_It Niels Bohr say 1.tell 'em what you are gonna tell 'em...
  189. Daniel Duffy

    Usages of advanced C++

    I don't doubt that. What are the gems that new C++ programmers can take from this video. People ask us quite often 1. How to design a trading system in C++. 2. Which language features are useful. Maybe I've missed something. // There seems to be a trading module in one of the Baruch projects.
  190. Daniel Duffy

    Usages of advanced C++

    yes and no. This is Optiver which is a major user of C++. To understand this you probably need quite a few years of industrial experience. A bit like martial arts belts white -> yellow -> ... -> brown -> black 1 -> black 10.
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