Search results

See my courses where all these topics are worked out. https://www.datasim.nl/onlinecourses What's 'abstract algebra'??

https://www.meetup.com/thalesians/events/272215702/

Very impressive list of programming languages. I used Prolog in 1987 when the world thought it was the future. At the time the West was scared of the Japanese 5th Gen that was fueled by Python .. a paper tiger. https://en.wikipedia.org/wiki/Fifth_generation_computer

Anonymous message Professor Duffy, just one question do you any chance offer possibility of buying some book concerning Python with code as for Financial Instrument Pricing. I am in desperate need of professional python code [..] @APalley @Andy Nguyen

Out of interest, which programming language do you use/learn/apply during your CS education?

This is 100% correct. After all these years Computer Science still does not understand that software development is more of an engineering+ design discipline. Anyone can write a program that prints '42'. And unfortunately, the situation is exacerbated in ML. The real risk in the future is...

That's the correct answer. The original question is incorrect.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

Traditionally, "linear algebra" tends to be taught in academia without dealing with "numerical" part. A better name is Vector (or Linear) spaces. To this stuff into a computer we have "Numerical Linear Algebra" and has algorithms for a wide range of problems and applications all over the place...

PDEs 'use' calculus. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

Premature optimisation?

It takes years before you become any good at writing. Or any good at anything for that matter. And you need to know your readers. And take concrete examples that readers can check and generalise. Quite simple. actually. The source of all great mathematics is the special case, the concrete...

Congratulations!

I don't doubt that a lot of work is being done in this area. But my guess is it's not (yet) mainstream business.

I would say it's more in the CS academic sphere, in general. Complexity is (was?) about searching and sorting in data structures. Financial is more about maths + algorithms with data structures as side-kick.

I would round that number to 100% :cool:

The heart of mathematics (and C++, red.) consists of concrete examples and concrete problems. Big general theories are usually afterthoughts based on small but profound insights; the insights themselves come from concrete special cases.” — Paul Halmos

The books are a bit too CS and generic for my taste. Lots of syntax, very little design. No offence, but it's like reading the telephone book. Just my personal opinion. The best way to learn C++ is to write code, brick-by-brick. And the less copy-and-paste, the better. My videos have 80% of what...

In a sense, the best background is your brain + motivation. 90% is self-contained (I think), listen hard to the videos and do the exercises will bring you a long way. And the very helpful TAs!

A follow-on remark is that everything is built on C++, Fortran and COBOL. All (?) the Python libraries are C++ and Fortran wrappers.

Of course! C++ will be here at your retirement age (in the future == 85). Life-long learning! Who knows, may C++ will support Quantum Computing by then. https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0208073

You're welcome! Knowing C++ means you have a great headstart :)

There are lots! Here are two theses I supervised last year. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance Initially, you first need to walk (learn the design process on a generic/non nitty-gritty cases) before running (actually applying design...

Is that the same as 'data structure', likes dict, set, matrices, HDF5?

Will the course teach good software principles that are often neglected by Python users? 1. Not so much neglect, more like no one out there (yet) to tell them how. I have several Python books but most are anaemic at the design level IMHO. 2. Universities have their strengths for sure, but in...

Oops, sorry, I missed that. One of the ways I could think of now is to start learning to backtest a strategy from quant reports. I would say that the next skills are to independently design and implement a program from scratch based on some requirements document? This is not a skill that you...

I recommend Quantnet C++ and then you start being able to think about the next level, i.e. design. Design != coding.

In bocca al lupo! Forza.

C module 1 is like Ogham until syntax becomes clear. Having got the syntax under your belt the rests is learning C++ concepts.

How many students know the chain rule, let's say transforming from (x,t) to (z, tau) z = z(x,t) = x/s(t) tau = t Now transform heat equation u_t = u_xx for 0 < x < s(t) to a PDE in z and tau for 0 < z < 1. // 95% get it wrong first time. Hint; use the chain rule and z is a function of TWO...

Historically, the ex-Cold War quants tended to be physicists. Physics uses a lot of mathematical symbols (and a bit of PDE/FDM)l to be sure but that's not the same as mathematical insights and methodology. TBH, I'm not sure how useful it is in the ML/Data era..

The big jump from {Java, Python, Matlab, <whatever>} to C++ immersion is huge. Do some C first. Believe me, otherwise 2 steps forward and 1 step backwards. Someone on QN once wrote that they learned more from QN C++ than 4-year CS degree programme. Saw this random observation... If you do not...

Looking back, I am very glad that the QN C++ course has 2 modules on C (you really learn what a compiler is). Of course, there's a lot of deprecated C code not to use but 1. you learn necessary structure 2. get close to the hardware. 3. C++ _is_ a better C Jumping into C++ w/o C foundations...

Linus Torvalds shudda taken the Quantnet/Baruch C++ courses.

A standalone option is a good idea, in combination with Python as well. Then it is A-Z.

BTW, Colin, Welcome to Quantnet!

I do Optimisaton as part of a numerics course https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods and its implemntation in Python https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries It is as an...

There are many good female quants but are you looking for those in the 'limelight' as it were? The ambiguity here is there is no agreed definition of what "quant". Each has her own internal model. On thing is sure: quant these days is all about progarmming. And Quantnet/Baruch has an impressive...

I suppose the first female "quant" was Ada Lovelace.

There was a time when people in industry could do both maths and programming (the word 'code' means nothing). Writing reliable software is a skill that takes years to learn.

This is super basic linear algebra, mostly definitions.

I find the term 'code monkey' to be offensive. What do they call you?

Computer Science doesn't have enough hard maths contents. This is not news. And numerical analysis is more useful than applied maths (whatever that means..) here. What do I know.

You should tell those recruiters to have a look at the Quantnet/Baruch C++ courses.

Well done! "if you can make it on QN C++ you can make it anywhere"!

Good luck! Enjoy the course.

You could make it into a charity!

1- Coders PHP developers good enough? BTW the modern word is programmer or developer. I would need 3-4 Quantnet/Baruch C++ developers. They would have it done before lunch.

This report undertakes a critical examination of the by now well-discussed open-source software based on an epidemiological model from a team from Imperial College London led by Dr. Neil Ferguson. I've been pontificating about good software project management for years but this high-profile...

First, get rid of the lawyer. Second, read this report https://quantnet.com/threads/analysis-of-covid-19-mathematical-and-software-models-or-how-not-to-set-up-a-software-project.44438/ 3. Project leader to keep group 1 from spinning out of control 🤕

That's 2 questions, one for ODEs, one for SDEs. I'm referring to ODEs (doesn't let Euler-Maruyama off the hook), Well-known issues, lots of them. Euler is no good for stiff ODEs, for example. Anyways, Euler is the least of their worries.

https://www.datasim.nl/blogs/27/analysis-of-covid-19-mathematical-and-software-models I've been pontificating about good software project management for years but this high-profile adventure exposes all the warts and all. The chickens have come home to roost.

There's a very good C++ course on Quantnet :-)

No problem! Lots of questions welcome :-)

Theoretical physics or experimental physics? How's your maths?

G. M. Weinberg 1998 The Psychology of Computer Programming, Dorset House.

You learn programming by programming. For C++ the Quantnet is the most mature and thorough. Write a robust and maintainable program.

I would say sections B, C, D, E correspond subsume calculus https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf Calculus is not analysis; the latter teaches differentiability while the former just 'does it'. Calculus == HOW Analysis == WHEN,WHY,WHAT...

It depends on the target/reader group. I work backwards to the books that satisfy the needs. I still don't know the precise definition of "Advanced Calculus"..

Nothing wrong with plumbing, that's life., It's ignorance of the underlying maths is dangerous.

You mean, the Joshi book or my book (2018 2nd edition is the most uptodate C=+11). The former is outdated. And traditional design patterns have been given a facelift in my courses. https://www.datasim.nl/application/files/5615/3778/5054/Chapter1Watermark.pdf The best way to learn C++11 etc...

On a related issue when someone says "I know linear algebra and calculus", it could mean almost anything.

From AMS Classification, 'calculus' on its own is ambiguous, so many 'calculusses' to choose from. https://mathscinet.ams.org/msc/msc2010.html?t=&s=calculus&btn=Search&ls=s

Good to go! Good luck.

Maybe 'calculus' is a common name in USA. In Europe calculus is what we learn(ed() at school. More accurate names imo are math methods (calculus on steroids, working things out like Stokes stuff) and real/complex analysis (epsilon/delta, hard core stuf). There again, I haven't looked in 47...

Nice. Thanks. It sounds that these are flexible software layers?

Will you tell Dan_BR-UK what *is* useful? I think you are not telling the full story.

The key of the C++ course is to learn C++ for finance. The goals are C++ Programming for Financial Engineering | QuantNet Community...

I think the N:M:R:T question is too big to answer. "Paul Wilmott on Quantitative Finance" Vols 1 to 3 is a good place to start. Maybe start with 1 factor BS and take it from there.

Think of it as a 10,000 m race, not a sprint. Begin with the end in mind and work backwards to now.

Great! It would be nice. I don't get out so much these days.

I don't of any. Since you know C++, a VBA course is too simple for you, so plan B book on VBA syntax Jackson and Staunton on VBA for finance (Wiley) A site with VBA code for quants http://www.axelvogt.de/axalom/ and Haug's book...

Since you ask. here is what I offer (rigorous, practical and hands-on) https://www.datasim.nl/onlinecourses BTW I am also the originator of the Quantnet C++ course.

General topology, stochastic analysis, mathematical finance primarily stuff about Levy processes, lots of PDE including advanced stuff like sobolev spaces and somewhat beyond, lots of measure theory, lots of functional analysis including advanced stuff like C*-algebras. All this in Two years...

Congratulations. C++ is such a great skill to have.

Should be fine. Many students have never even programmed before. The course contents/style has been influenced by the mathematical/engineering-style background of the course's originator.

Linear algebra, ODE/PDE, algorithms, data structures ,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,+ real analysis.

C++ is the best foundation for many reasons. e.g. knowing C++ means learning Python, C#, Java is a piece of cake. Knowledge of Python doesn't really help if you wish to learn C++. The best way to learn C++ is to learn C++.

You're welcome :) It was good advice and I advise many people. It was not meany to cause offence (or offense in the States), per se. In my day we had no Grammarly and our teachers were very strict

Small remark it's 'per se' https://en.wiktionary.org/wiki/per_se and use 'advice' (it is a noun, you used a verb).

I prefer Jigoro Kano's advice.

ODE/PDE/FDM are popular.

Using modules and packages for program deccomposition. The "Pythonic way" should not be a straightjacket/Procrustean bed. I think a Pytonic++ way deserves attention. These style guidelines transcend a given programming language. A single style is not useful for all application domains...

From "Python in a Nutshell" "Sometimes, however, you need a deep copy .... fortunately, this need is rare, since a deep copy can take a lot of memory and time." I don't agree 1. Many applications need deep-fried-copied object 2. Deep copy can be more thread-safe than shallow copy. (replicated...

Here is a quote with which I disagree completely. It is very, very bad: "I hate anything that asks me to design on the spot. That's asking to demonstrate a skill rarely required on the job in a high-stress environment, where it is difficult for a candidate to accurately prove their abilities. I...

C++ From Meyers' Wiki entry Most of the QN/Baruch C++ alumni can design on the spot. Practice, practice, practice. The devil is in the detail.

It's the analogy is the point. What I am saying if you software like CAD/CAM then many software ills will be avoided. The penny hasn't dropped.

Here's a thought: Compare how (the process) mechanical engineers design and manufacture physical products with how software products are made. create. Big difference. For one, lack of design blueprints. If you build a house, do you first buy a bag of bricks?

Factories and other patterns are directly supported in Boost. I've stopped using Singleton pattern 20 years ago. Factory Method pattern is OK but limited to toy examples. I can see an implicit, conceptual link between the two. The Gang of Four 1994 book tells the precise mapping, as does...

I also have the 'Effective Modern C++' book on C++11/14 by the same author, which I guess will present the best 'design patterns', and in what specific situations it is useful to take advantage of these improvements in the language. What's your definition of a design pattern? Meyer's approach...

Thank you zhb[5] It's made my day!

machine learning engineer Fancy name. Are ML plumbers needed (serious question)?

From a pedagogical viewpoint, a scoped and self-contained test case 101, A-Z would add value for the community IMO.

How is it possible to write well-designed and maintainable Python code? What's your favourite method?

The authors assume background in measure theoretic probability This excludes > 90% of readers! To have a have a background in measure theoretic probability the necessary foundation are real analysis measure theory / Lebesgue integration Some Functional Analysis, really The beginner should...

Goo luck. Konstantin!

Linear algebra is needed in so far that it is (only) a supporting mechanism for approximation and optimisation algorithms. Most problems here are nonlinear and are solved as iterations of linear problems (enter linear algebra!). What is missing IMHO in general is more precision on . function...

Since this is a finance site, the real interesting thing for people here IMHO is how to do it for finance, really. To mamy examples now on character and baboon derriere recognition :) I'm biased but this is how I feel ML work should be written up...

I find Geron's book just OK. And boring. It reads like a cook book pressing the right buttons for TensoFlow and Sklearn. On a follow on, most of the O'Reilly books IMO are 90% tables, screen shots and plots and 10% maths/insights. Each to his own; what do I know. The constructive message is...

By Hastie et al? If yes, it's a fantastic book.

Antoine. I reckon a lot of people here are interested in ML. The question is how they might get started.

C# is in some ways similar to C++. But C++ demands you manage memory yourself.

Here's a bunch of useful C++ examples from Boost. Caveat: I haven't done much after the posts but you may find it useful nonetheless. http://www.datasimfinancial.com/forum/viewtopic.php?f=22&t=111

What I see a lot is linear algebra as pure maths which is essential, indeed. The other side of the coin is Numerical Linear Algebra which is more common in daily work. (Same holds with ODEs .. it not enough to know just the analytics; Python odeint and Boost odeint are needed,) Many (almost all...

Here is online courses originated and mentored by me . It will probably give some idea of useful topics. https://www.datasim.nl/onlinecourses

It's a bit vanilla. It does not really say anything about what it is.

Everybody is a student lifelong, so it's not all bad. 1. Certified C++ developer (you learn a skill and how to write decent code) 2. First kyu (brown belt/judo/karate/ju-jutsu). (next black belt). (The judo belt analogy is very accurate; you can 'map' each course level to a given colour).

I am an anesthetist. Wow! Have fun with C++.

Alright then, I downloaded the revamped Imperial Covid C code, built the project and got it running in console mode (it uses GDI which I haven't used since 1992 ... it is deprecated big time and is impossible to find GDI drivers), I will write up a precise and detailed report in the coming days...

Alright then, I downloaded the revamped Imperial Covid C code, built the project and got it running in console mode (it uses GDI which I haven't used since 1992 ... it is deprecated big time and is impossible to find GDI drivers), I will write up a precise and detailed report in the coming days...

C++ is a skill which will be of enormous benefit for years to come.

https://www.businessinsider.nl/trumps-coronavirus-team-relies-on-stupid-model-by-controversial-economist-2020-5?international=true&r=US "Lies, damned lies and cubic spline interpolation". I agree with pingu. Baddest model ever. They never bootstrapped the 30-year forward rates curve.

You should read a bit more, especially what software developers say. Don't be fooled by cute reports. The wording 'derivative' is a misnomer (a better word is 'clone'); it is an attempt to remove the bugs. It could be called a second version in C++ (12 years too late). The software is the...

One exhibit from the report “Stochastic” is just a scientific-sounding word for “random”. That’s not a problem if the randomness is intentional pseudo-randomness, i.e. the randomness is derived from a starting “seed” which is iterated to produce the random numbers. Such randomness is often used...

How one Covid-19 Software model (Neil Ferguson/Imperial College) was developed. A damning report https://lockdownsceptics.org/code-review-of-fergusons-model/

You're welcome. Andy and Avi can give these details, but I believe it's 16 weeks and you can start anytime. @Andy Nguyen

Yes, go for it! C++ is a great skill to have.

Matt, I have known the friendly people of QN and Baruch for almost 15 years now and I am the originator of the 2 C++ online courses here. So, I like to have a look to see how everyone is doin', say hello and hopefully be useful :)

Welcome to Quantnet, Matt! I have taken the liberty to place a link to your MSc thesis here :) https://www.datasim.nl/application/files/5915/7045/5027/Matt_Robinson_Thesis_.pdf

I have extensive knowledge in both mathematics and computing, Can you elaborate? These are very broad terms.

Learning more hard (applied) maths does no harm I would say. And lots of hands-on doing maths. Advanced C++, is that the Baruch course you are referring to?

WOW! So, an EU bank charges 9% and they can borrow at almost zero% interest from ECB? Something out of kilter, out of whack.

Go for it :) and you can make the nice graphs using my ExcelDriver :devil:

With your knowledge of C++ you could solve them using odeint https://www.boost.org/doc/libs/1_72_0/libs/numeric/odeint/doc/html/index.html (BTW most models are toys)

Good luck!

More concrete examples worked out, less text needed in maths. The best way to do maths is to do lots and lots of concrete cases.

I can't say which education is best but my guess is you wouldn't have any problems given your background.

Aerospace Engineering is a good background to have from what I have experienced. Certainly the maths part. Matlab is fine but maybe look out for Python and C++.

I don't know, but I reckon so. You can do version 1 on mac using Python. speed is for later.

You can use simulated/synthetic data (i.e. analytic solution) as training data for the ANN (3-layers?) FDM == finite difference method FEM = finite element (more advanced)

Here'a a possible, doable project: take the problem as in McGhee's article, make it more clear (better 'flow') and use the approach taken by Dalvir Mantara in the thesis I posted. For training data, use Heston exact and then maybe move to FDM/FEM. BTW Dalvir's thesis is extremely well-written...

Sorry, don't know Fama-French model. 2.5 months is not much time.

Yes, especially at MSc level and limited time resources you want to take an incremental approach. Like life, we must walk before we can run. So, some time to learn ML before applying it to finance. aka how to scope your thesis and a project estimation. I always ask student to write up a 1/2 A4...

12. University of Birmingham UK, course director is Dr. Colin Rowat (to explain: I have been an external MSc supervisor there since 2014).

Your background may be too diffuse, as you say yourself. For economics stuff, more hard mathematics/analytic thinking in maths is probably _very_ necessary. As regards programming, R is easy to learn but C++ is a real skill. Python is a useful side-kick.

There's certainly no shortage of fancy buzz words in ML. The proposal is high-risk and there's no guarantee that useful results will be obtained. I could be wrong but a Plan B does no harm. For MSc I recommend benchmarking existing methods and integrating/improving them with ML. Avoid the...

Step 1 is to understand the underlying maths.

I've been to Iceland a few times; everyone there speaks English. Can't get a word in edgeways.

Sanskrit is very useful for students of Indo-European languages. https://upload.wikimedia.org/wikipedia/commons/0/05/Indo-European_isoglosses.png I always wanted to learn Icelandic.

Matlab is useful, but Python looks better. Maybe time for adviser/advisor to learn Python.

If you run my code you get the correct answer :-) Maybe you are mixing your types?

My C++ Boost code gives 262537412640768743.999999999999250072597198185688879353856337336990862707537410378210647910118607313 which is correct. This number was discovered in 1859 by the mathematician Charles Hermite.[7] In a 1975 April Fool article in Scientific American magazine,[8]...

http://oeis.org/wiki/Ramanujan%27s_constant

My conjecture is the value is 262537412640768743 + 1.

Here's the multiprecision code #include <boost/multiprecision/cpp_dec_float.hpp> #include <boost/multiprecision/cpp_int.hpp> #include <boost/math/constants/constants.hpp> #include <typeinfo> using boost::multiprecision::cpp_dec_float_50; using boost::multiprecision::cpp_dec_float_100...

Using Boost multiprecisin (BTW I used Archmedes' algorithm using harmonic and geometric means to compute to yuge accuracy). It looks like an integer indeed. I suspect normal double version can't handle it. https://en.wikipedia.org/wiki/Approximations_of_%CF%80 The code is in my C++ 2018 book...

Or is it a real number whose fractional part is zero? BTW how can you compute that number? Serendipity. :-)

What is maybe useful to know is that I personally mentor/supervisor the students with queries etc. As an added value (if the student has time, I realize they have a busy life) there is an option to do a (mini) project related to finance, at no extra cost. In the last 8 years I have supervised...

Thank you. A lot of tine (BTW I have lost count) and effort by myself and better half (tex, etc.) BTW did you request the code? info@datasim.nl

I do maths courses all year round, including PDE. You can start any time you like. And my PDEs are geared up to computational finance.

Over a period of 40 years I stuck to Fortran, C/C++ and C#. Lately Python but it's easy. So, 1 language per 10 years :) I dabbled in other languages but many were culled before they wasted my time. e.g. I ditched Java in 1997. I am not a CS language fan as such, as languages for me must fit into...

The link on Technical Debt is really very good. I suppose it's like "you reap what you sow".

Technical debt (also known as design debt[1] or code debt, but can be also related to other technical endeavors) is a concept in software development that reflects the implied cost of additional rework caused by choosing an easy (limited) solution now instead of using a better approach that...

For sure. I have seen dozens drop in their steps.. Care to draw up a shortlist (C++ excluded)? I started on Fortran IV/66 for semiconductors and Boltzmann radiation problems in a large multinational Dutch company, then in CAD. The Achilles heel was no contact with the underlying hardware. Enter...