Search results

  1. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    My prediction in this area is that C++20 will be needed. And linear algebra is not enough. (the dolphins told me!)
  2. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    JP Morgan pulls plug on deep learning model for FX algos US bank turns to less complex models that are easier to explain to clients...
  3. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    One route QN C++ -> {ODE_PDE | AMN} -> Advanced C++.
  4. Daniel Duffy

    How to feature your C++ certificate on LinkedIn

    All certificates in one place!
  5. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    Just a bump just a bump. Course open, as always.
  6. Daniel Duffy

    Benefit of Online Courses in Strengthening your CV

    Out of curiosity, what's the reason(s) for this? Content, style, exercises?
  7. Daniel Duffy

    Quantlib Python

    https://github.com/AIM-IT4/QuantitativeDerivativeModels/tree/main
  8. Daniel Duffy

    Software Engineer to Quant

    https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  9. Daniel Duffy

    Econ major path to quant

    ODE/PDE is a good preparation in econometrics etc. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations And programming (C++, Python) these days.
  10. Daniel Duffy

    Seeking Advice: Strengthening My Application for Princeton's MFin Program

    Both QN C++ courses have modules on Monte Carlo and PDE. There is no other C++ course like it.
  11. Daniel Duffy

    Application Assistance

    In general, learning as much maths as possible is useful. My ODE/PDE online course is relevant to MFE. C++ and Python are also good.
  12. Daniel Duffy

    Computer Science Ph.D. with a security focus breaking into quantitative researcher roles

    Can you program? C++, Python. How's your applied/numerics maths? Measure Theory is hardly used; almost no one understands it.
  13. Daniel Duffy

    C++ Online Programming Course Testimonials

    Level9 is to get you acquainted with Monte Carlo and PDE. The full story is here. https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670
  14. Daniel Duffy

    Seeking Advice on Trailer Bill of Sale Documentation

    Cash. You're winding us up o_O
  15. Daniel Duffy

    C++ Online Certificate Students' intro thread

    In module 10 we have stuff on PDE/FDM that you might like as well. https://www.amazon.co.uk/Numerical-Methods-Computational-Finance-Differential/dp/1119719674/ref=sr_1_1?dchild=1&keywords=9781119719670&qid=1634724362&sr=8-1 @DesirKoffi @Paul Lopez
  16. Daniel Duffy

    Matlab (or Python) code for calibration of market option prices for variance gamma and CGMY model

    This book, with Matlab code https://www.amazon.nl/Financial-Modelling-Theory-Implementation-Practice/dp/0470744898
  17. Daniel Duffy

    Linear Algebra Done Right and ESL

    I asked a prof about one and he said it was more for maths teachers (high school level) than hard mathematicians. Your prof is not even wrong. Scary.
  18. Daniel Duffy

    Linear Algebra Done Right and ESL

    I see. Some numerical linear algebra and optimisation preparation is very useful.
  19. Daniel Duffy

    Regarding the use of ChatGPT in this course

    YEP:devil::coffee::geek::mad:o_O🫡🤧🦾🧛‍♂️
  20. Daniel Duffy

    Regarding the use of ChatGPT in this course

    Indeed. On the other hand, the added value of QN is 1. quickly help you with conceptual issues. 2. Compiler errors resolution ASAP. And you make the magic between 1 and 2.
  21. Daniel Duffy

    Regarding the use of ChatGPT in this course

    I just see what ChatGPT comes up with, use that answer, and spend 1 hour making sure that I understand its solution and that I can replicate it on my own in the future? It is one way,but ChatGPT has done the hard thinking for you. What happens when ChatGPT cannot answer and you haven't built...
  22. Daniel Duffy

    Regarding the use of ChatGPT in this course

    And why would you use ChatGPT? It is a poor substitute for your brain.
  23. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    What was the (root) cause of the problem? a 1-liner is also OK. Many people are interested.
  24. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    A well-written book would save a lot of lost time. // the kids have to eat; $3 won't go far after Amazon has got its share. And then the taxman.
  25. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    9N I would say 1. does lib file exist? 2. is it compatible with project (x86, x64 stuff) 3. is it in your project properties? my file a while back was quantlib-vc140-mt-gd.lib ? Are you missing a version number? Build again for vc142, whatever. It's not rocket science at this stage.
  26. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    "By pulling the code from Git (at a stable versión of course) you can take advantage from the cmake files and using the CMAKE plugin of vscode you can compile and debug in a matter of minutes."
  27. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    OK. But the installation works if the bespoke steps are followed exactly?? A golden rule is this kind of stuff should be easy.
  28. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    Did you ring the alarm bell? e.g. contacting Luigi directly? https://www.quantlib.org/mailinglists.shtml
  29. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10708
  30. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    It's a matter of following the steps correctly Years ago it took me 2-3 tries until I understood what I was doing. https://www.quantlib.org/install/vc10.shtml
  31. Daniel Duffy

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    The BOOK https://www.amazon.com/Implementing-QuantLib-Quantitative-finance-architecture/dp/B08KHSZK86/ref=sr_1_1?qid=1695749765&refinements=p_27%3ALuigi+Ballabio&s=books&sr=1-1
  32. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    If it is a bot, then it's a very polite one :unsure:
  33. Daniel Duffy

    If you were the interviewer...

    Give Guy the job!
  34. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    So, Dennal is an AI bot? Mon Dieu!
  35. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    BTW in 1987 was the dawn of a new AI revolution. It fizzled out. I dabbled a bit in Prolog (must be good if the Japanese were using it ...), but no.I saw no future .. a lot of hype, unfortunately. Microsoft, Oracle won. And C++.
  36. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    ?? it is from NYT,yes?? (pay wall) https://www.nytimes.com/1987/09/15/science/more-human-than-ever-computer-is-learning-to-learn.html They published similar hype in 1958 (and that's a fact) // Electronic 'Brain' Teaches Itself (Published 1958)...
  37. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    Not sure what you are saying. Who is the "individual" in this case?
  38. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    About the Archive This is a digitized version of an article from The Times’s print archive, before the start of online publication in 1996. To preserve these articles as they originally appeared, The Times does not alter, edit or update them. Occasionally the digitization process introduces...
  39. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    MATT ROBINSON This thesis introduces and elaborates on how to approximate option and bond price sensitivities (Black Scholes and Cox-Ingersoll-Ross (CIR) models) in a variety of ways. In general, option price depends on time and on the underlying stock variables as well as on a number of...
  40. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    The Riccati ODE in Mathematical Finance https://www.sciencedirect.com/science/article/pii/S0747717101905085 And the corresponding PDE/FDM solution of CIR interest rate model
  41. Daniel Duffy

    Second Year Math Options

    Numerical Analysis as well. C++, Python at some stage.
  42. Daniel Duffy

    C++ Online Programming Course Testimonials

    And the next steps? https://www.datasim.nl/onlinecourses/71/distance-learning-advanced-finite-difference-method-fdm-for-computational-finance
  43. Daniel Duffy

    C++ Online Programming Course Testimonials

    I have written several books on PDE/FDM, geared up to finance. And many articles I wrote and posted on QN. Other PDE stuff on internet is like learning karate whereas the goal was to learn judo. https://www.datasim.nl/books // In general, it is always good to ask TA or myself if you have...
  44. Daniel Duffy

    Where C++/Python and other programming languages used in MFE programs

    C# is used as well. C# in Financial Markets (Wiley) , Duffy and Germani 2013.
  45. Daniel Duffy

    Wish list for QuantNet 2023 and beyond

    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4565813
  46. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    (for example regex) Yeah, kind of esoteric, we include it for completeness. It's been in Boost for almost 20 years. https://www.boost.org/doc/libs/1_83_0/libs/regex/doc/html/index.html It means that you can hold your own against those pesky Perl and PHP programmers.
  47. Daniel Duffy

    What is a Visitor Pattern?

    you can use "insert code" option ;) #include <iostream> // Forward declaration of classes to avoid circular dependencies class ConcreteElementB; class ConcreteElementA; // Visitor base class class Visitor { public: virtual void visit(ConcreteElementA* element) = 0; virtual void...
  48. Daniel Duffy

    Wish list for QuantNet 2023 and beyond

    I use both Python and C++, at different times, for different requirements. C++ is a real skill to have. Just saying. Plan B: don't wait for someone, you can write your own code; it takes time, that's all.
  49. Daniel Duffy

    Wish list for QuantNet 2023 and beyond

    Not that I know of, but maybe someone is thinking about it.. What is needed? 1. People to do the actual work. 2. Feasability study. 3. Budget. 4. Project plan. etc.
  50. Daniel Duffy

    I save my employer millions using technique I learned in QuantNet Advanced C++ course. AMA

    An unordered_map is a data structure that stores data in the form of key-value pairs. The best case and the average case complexity for all the operations in an unordered_map is O(1). While in the worst case, the time complexity for all the operations in an unordered_map is O(n).
  51. Daniel Duffy

    I save my employer millions using technique I learned in QuantNet Advanced C++ course. AMA

    ?? that contradicts the official documentation.
  52. Daniel Duffy

    I save my employer millions using technique I learned in QuantNet Advanced C++ course. AMA

    Average or worst-case O(..)? std::unordered_map is an associative container that contains key-value pairs with unique keys. Search, insertion, and removal of elements have average constant-time complexity. Internally, the elements are not sorted in any particular order, but organized into...
  53. Daniel Duffy

    SHOW ME THE CODE !

    I was unable to unbold that quote of mine, sorry.
  54. Daniel Duffy

    SHOW ME THE CODE !

    “It is better to solve one problem five different ways, than to solve five problems one way.”
  55. Daniel Duffy

    Good PDE online courses with certification?

    Thank you. I am the originator of the popular ODE/PDE course as well as being the personal coach/mentor for the duration. And even a mini-project(if student wants) + certificate. And I'm the only PDE course doing finance PDE etc...
  56. Daniel Duffy

    SHOW ME THE CODE !

    why not build your own Euler fdm 101 from 1st principles w/o all that boiler plate code i.e. virtual. /* Let's try to solve the first order ODE given by * x' = (1-2t)x */
  57. Daniel Duffy

    SHOW ME THE CODE !

    This code is difficult to read; it is not documented. Lots of automatic variables defined in calculateNextYValue(). BTW how's the performance? looks top-heavy at first glance. Why not just post a zip file???
  58. Daniel Duffy

    New next gen design book in C++,C#, Python, what is a "reasonable" price

    a. $39 b. $45 c. $50 d. $60 e. $80
  59. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    Peter Lax PDE guru // believe it not, PL attended a lecture of mine on Black-Scholes-esque PDE in 1977..
  60. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    Hungary was a front for aliens from Mars. In an answer to the question of why there is no evidence of intelligent life beyond Earth despite the high probability of it existing, Szilárd responded: "They are already here among us – they just call themselves Hungarians."
  61. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    Cornelius Lanczos once offered us undergrads a challenge in Dublin; generalise Radon-Nikodym theorem to complex variable case.
  62. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    Paul Halmos was Hungarian. I met him a few times at some lectures he gave in the 1970s in Trinity College. https://en.wikipedia.org/wiki/Paul_Halmos 1942. Finite-Dimensional Vector Spaces. ... 1950. Measure Theory. ... 1951. Introduction to Hilbert Space and the Theory of Spectral...
  63. Daniel Duffy

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

    Thanks. Many student questions on QN are addressed here, which is the reason I posted it in the first place :LOL: seek and ye shall find Matthew 7:7
  64. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    The treatment is too short.. Do you know the books by Kloeden and Platen? you should. These are definitive!
  65. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    the best book for MFE IMO is https://www.amazon.nl/-/en/SPIEGEL/dp/0070602212 and Mikosch https://www.amazon.nl/-/en/Thomas-Mikosch/dp/9810235437 If you are maths ==> HALMOS measure theory
  66. Daniel Duffy

    How are ODEs/PDEs/Measure theory introduced in MSQF/FE programs

    To really understand measure theory, 4 year honours undergraduate maths courses are needed. Been there, done that. My Prof was a PhD student of William Feller at Princeton at the the time, so I got it from a good source. terse stuff.. It's kinda cruel subjecting (unprepared) MFE students to MT...
  67. Daniel Duffy

    COMPARE Double major: Math and CS or Math and Applied Physics

    well, PDE in finance is fine. But can you write a PDE solver for Maxwell's electromagnetic equations w/o physics? eh!! that's high-school level, unfortunately. In my day, maths students learned Fortran, C etc. by osmosis during 4-year degree program. Just make time and prune other...
  68. Daniel Duffy

    COMPARE Double major: Math and CS or Math and Applied Physics

    I wasn't fishing for compliments, but stating what my experience was, for good or bad. I have been told that QN C++ is miles ahead of any CS course. So, maths + physics + C++ and good to go.
  69. Daniel Duffy

    COMPARE Double major: Math and CS or Math and Applied Physics

    Most math and physics programs, especially as a double major, don’t have the time for Student’s to take foundational programming classes That's the fault of your university, not of physics. They don't take the time and/or they are not interested. Same old story of the last 60 years. Believe me...
  70. Daniel Duffy

    COMPARE Double major: Math and CS or Math and Applied Physics

    Depends on the context. PDE,SDE models are all based on physics + intuition. just think Fokker-Planck. Markov chains etc. For me, CS education on its own is a bit soft IMO. It doesn't teach maths or domain stuff. I learned it on the job.
  71. Daniel Duffy

    COMPARE Double major: Math and CS or Math and Applied Physics

    You can learn CS on the job. And it's relatively easy. Physics is of fundamental importance.
  72. Daniel Duffy

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

    An Explicit Implied Volatility Formula International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017 Dan Stefanica Baruch College, City University of New York Rados Radoicic CUNY Baruch College // DS_RR.cpp // /* An Explicit Implied Volatility Formula International Journal...
  73. Daniel Duffy

    C++ or Python?

    Python meets Excel https://techcommunity.microsoft.com/t5/excel-blog/announcing-python-in-excel-combining-the-power-of-python-and-the/ba-p/3893439
  74. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    "For whom is the Course and what are the Prerequisites? This course is suitable for professionals in industry and finance as well as for advanced undergraduate and MSc/MFE students. The prerequisite knowledge is calculus to the level in the book by D.V. Widder 1989 Advanced Calculus Dover, for...
  75. Daniel Duffy

    I found Quantnet's doppelgänger

    The posts on PVC piping are quite useful.
  76. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    I recall my ODE/PDE course for MFE.
  77. Daniel Duffy

    C in PDE

    My approach for MFE is students do parts A,B,F and G + exercises and then they get certificate, personally signed by yours truly :cool: I help students with the exercises. TBD, I have not see an ODE/PDE course like mine + applications to finance (unique feature). And in my 10 books. I've being...
  78. Daniel Duffy

    C in PDE

    ODE and PDE are so essential in all walks of life. It means you are missing out https://en.wikipedia.org/wiki/List_of_partial_differential_equation_topics
  79. Daniel Duffy

    C in PDE

    UCB has PDE as prerequisite, for example.
  80. Daniel Duffy

    C in PDE

    To really understand PDE, decent groundwork in ODE is essential. And my ODE/PDE online also does PDEs in finance, which is unique in PDE land.
  81. Daniel Duffy

    MFE or Masters in Math?

    some relevant maths https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials
  82. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    The physics of the lawn game Croquet. And it's modelled by an ordinary differential equation (ODE). Of course.
  83. Daniel Duffy

    How to get research experience with professors?

    You might be getting the run of yourself.
  84. Daniel Duffy

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

    1. Object-based := OOP minus the inheritance (which is an optimisation). 2. Procedural (aka modular).
  85. Daniel Duffy

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

    I have heard good thing about Scala. Haven't looked into it. For what I do, 70% is OOP and ~20 functional. FP is not an objective in itself.
  86. Daniel Duffy

    Pre-MFE classes online vs. in person

    https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials My ode/pde courses. And QN C++ and Advanced C+ + are a kind of gold standard.
  87. Daniel Duffy

    Mechanical Engineering to Quant Researcher

    Would it be feasible to land a job as a quant researcher with a Ph.D. in CFD? Not at all. I qualify: it is a great skill but not useful for finance, e.g. FEM is hardly even known, let alone used. MechEng doesn't have (enough) relevant maths; it has maths methods kind of stuff minus (deep)...
  88. Daniel Duffy

    ChatGPT

    Betrand Meyer's views https://cacm.acm.org/blogs/blog-cacm/273577-ai-does-not-help-programmers/fulltext AI in its modern form, however, does not generate correct programs: it generates programs inferred from many earlier programs it has seen. These programs look correct but have no guarantee...
  89. Daniel Duffy

    What is a Visitor Pattern?

    I have subsumed the GOF pattern in C++20, making them more robust and future-proof. In our new book. // TestFactories.cpp // // Factory patterns in C++20 Concepts // // (C) Datasim Education BV 2023 // #include <iostream> template <typename Factory> concept ICreate = requires (Factory& f)...
  90. Daniel Duffy

    What is a Visitor Pattern?

    A good way to learn patterns and reduce learning curve is to do first do Visitor in Python and then port to C++. Modern Multiparadigm Software Architectures and Design Patterns with Examples and Applications in C++, C# and Python Volume I Datasim Press (planned publication date December 2023)...
  91. Daniel Duffy

    What is a Visitor Pattern?

    Student exercise: port above C# code to C++ (of course, we don't spoon feed: real QN programmers do it themselves in C++) @APalley
  92. Daniel Duffy

    What is a Visitor Pattern?

    // ConsoleVisitor.cs // // Shape visitor that sends the shapes to the console output. // // (C) Datasim Education BV 2001-2002 using System; public class ConsoleVisitor: ShapeVisitor { // Default Constructor. public ConsoleVisitor(): base() { } // Copy constructor...
  93. Daniel Duffy

    What is a Visitor Pattern?

    // ShapeVisitor.cs // // Abstract base class for shape visitors. // The visitor can be used to extend the functionality of // the shape hierarchy such as output drivers, transformation drivers, etc. // Can be used in combination with Composites. // // (C) Datasim Education BV 2001-2002 public...
  94. Daniel Duffy

    What is a Visitor Pattern?

    More non s/w examples https://www.researchgate.net/publication/234819209_Non-software_examples_of_software_design_patterns/link/00b4953680c9c1c689000000/download Good luck with the interview.
  95. Daniel Duffy

    What is a Visitor Pattern?

    Also a form in C++17 https://en.cppreference.com/w/cpp/utility/variant/visit
  96. Daniel Duffy

    What is a Visitor Pattern?

    Yes, in fact we do all the patterns in that course! Wouldn't be surprised if interviewer had seen my previous books and articles :cool: and ze new one.. Visitor is like an outsourced member function...
  97. Daniel Duffy

    What is a Visitor Pattern?

    Visitor is super. I invented indepedently in 1992 (!) and built a complete CAD package around it. Separation of Concerns. (originally called multiple polymorphism, invented by Dan Ingalls). In my many books and courses. A visitor pattern is a software design pattern and separates the algorithm...
  98. Daniel Duffy

    Advise on MFE programs in the Netherlands

    By looking at these programs and their courses, which one would you advise a Dutchman to take? You may also keep international reputation etc. in mind. Confusing. What is your ultimate goal? I never hear the term MFE used in NL, at least not in the usual sense.
  99. Daniel Duffy

    Advise on MFE programs in the Netherlands

    According to the ads on BNR radio, Erasmus is the best in Benelux. It does look like a nice course at face value. Tilburg is econometrics. Amsterdam is the most quantitativs of the three and is closest to the Zuid As. Maybe Utrecht might be worth investigating. I would look into testimonials...
  100. Daniel Duffy

    Which book is best for my self-study of stochastic calculus?

    Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24) 2nd Edition https://www.amazon.com/Numerical-Stochastic-Continuous-Modelling-Probability/dp/0387951393
  101. Daniel Duffy

    Can a 2nd year student take this C++ online course?

    20% gives 80% effectiveness in real-life applications. In judo there are 100s of throws + combinations. Most judokas only do [1,5] in competitions.
  102. Daniel Duffy

    Which book is best for my self-study of stochastic calculus?

    Again, get Glasserman >> all others https://www.amazon.com/Financial-Engineering-Stochastic-Modelling-Probability/dp/0387004513 and Kloeden/Platen...
  103. Daniel Duffy

    Can a 2nd year student take this C++ online course?

    The best way to learn is to document your code as you write .. then you can recall it any time in the future. This is the way I do it, e.g. // TestExp5.cpp // // dx/dt = - grad(U(x)) , grad == gradient // Transform f(x) = 0 to a least-squares problem, U = f*f // // Tip iceberg: minimise a...
  104. Daniel Duffy

    Need help choosing my undergrad major.

    Since I've decided to major in Stats and minor in Math, A bit lobsided choice? Stats is easy if you know maths IMO. It can easily be learned even after a maths degree.
  105. Daniel Duffy

    Need help choosing my undergrad major.

    “Wax on, wax off. Wax on, wax off.”
  106. Daniel Duffy

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

    ''' // TestMC101.py // // Prototype Monte Carlo option pricing in Python // // (C) Datasim Education BV 2008-2023 // This code can be used as a baseline for extensions in C++ and C#, for example. More generally, other possible use cases are: U1: Learning a language feature in Python as a...
  107. Daniel Duffy

    Need help choosing my undergrad major.

    Afaik Econ is application of maths and not hard core maths. The point about doing a maths degree is that it teaches analytical thinking that you can apply to any problem. Other disciplines apply maths on a recipe-by-recipe basis (more or less). Econ is 80% Linear Algebra with some calculus...
  108. Daniel Duffy

    Can we earn more than the medical field?

    It's not exactly rocket science, what?
  109. Daniel Duffy

    C++ Course Ghosts

    You've got your whole life ahead of you .. you'll be fine!
  110. Daniel Duffy

    C++ Course Ghosts

    :coffee:
  111. Daniel Duffy

    C++ Course Ghosts

    I started 4 year maths degree with 50 other sudents in Trinity College Dublin. 6 of us surived the Special Maths degree course. "No pain, no gain"
  112. Daniel Duffy

    C++ Course Ghosts

    Most unis don't do C++, let alone adv C++. I am open to correction. CS depts. seem to hate C++. https://quantnet.com/advancedcpp/
  113. Daniel Duffy

    What books are you currently reading?

    Numerical Methods for Stochastic Control Problems in Continuous Time (Stochastic Modelling and Applied Probability, 24) 2nd Edition https://www.amazon.com/Numerical-Stochastic-Continuous-Modelling-Probability/dp/0387951393
  114. Daniel Duffy

    C++ Course Ghosts

    You guys are lucky; it took me 33 years to learn C++.:ninja:
  115. Daniel Duffy

    ChatGPT

    Maths is best. Also OK I speak Spanish to God, Italian to women, French to men, and German to my horse. Charles V
  116. Daniel Duffy

    ChatGPT

    On the surface, it seems odd to assume that a model designed to make accurate predictions about words and sentences without actually understanding their meanings can understand expected gain. But there is an enormous body of research showing that language and cognition are intertwined. An...
  117. Daniel Duffy

    ChatGPT

    https://science.ku.dk/english/press/news/2023/chatgpt-promotes-american-norms-and-values/#:~:text=According%20to%20Daniel%20Hershcovich%2C%20the,Though%20perhaps%20unintentionally.
  118. Daniel Duffy

    Suggestion for Stochastic Calculus

    Brownian motion, jump, mean reversion ? :cool:
  119. Daniel Duffy

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

    Good heavens! For more than forty years I have been speaking math without knowing.
  120. Daniel Duffy

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

    60 years combined software programming experience. If that rocks your boat.
  121. Daniel Duffy

    ChatGPT

    I don't have a phone. And I have a room full of books and a photographic memory. $20 .. no way o_O Still prone to mistakes and sounding authoritarian while giving false info, i rest my case.
  122. Daniel Duffy

    ChatGPT

    I'll take youir word for it. Wait until it becomes mainstream...
  123. Daniel Duffy

    ChatGPT

    does it matter? the apple does not fall far from the tree.
  124. Daniel Duffy

    ChatGPT

    Me: What does "Walking on the beaches lookin' at the peaches" mean? ChatGBT: It is not clear what "Walking on the beaches lookin' at the peaches" means, as it is a nonsensical phrase. It could potentially refer to a person walking on a beach and looking at peach trees or peach fruit, but...
  125. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    He Spent $140 Billion on AI With Little to Show. Now He Is Trying Again. Billionaire Masayoshi Son said he would make SoftBank ‘the investment company for the AI revolution,’ but he missed out on the most recent frenzy...
  126. Daniel Duffy

    X9 - high performance message passing library (HFT)

    http://www.diva-portal.org/smash/get/diva2:944063/FULLTEXT02
  127. Daniel Duffy

    X9 - high performance message passing library (HFT)

    book on pthreads https://www.oreilly.com/library/view/pthreads-programming/9781449364724/ch01.html
  128. Daniel Duffy

    X9 - high performance message passing library (HFT)

    static int random_int(int const min, int const max) { return min + rand() / (RAND_MAX / (max - min + 1) + 1); } The C Standard rand() function makes no guarantees as to the quality of the random sequence produced. The numbers generated by some implementations of rand() have a comparatively...
  129. Daniel Duffy

    X9 - high performance message passing library (HFT)

    Had a quick look at this C library 1. You use rand(), what's the rationale? 2. pthreads library is good but from the 90s. C++11, TBB, PPL have all this functionality. To be brutally honest, what's the compelling reason for using x9?
  130. Daniel Duffy

    Seeking advice on prerequistes for MFE and Ms application prep

    No SDEs in this ODE/PDE course. But see my book on Monte Carlo with Joerg KIenitz.
  131. Daniel Duffy

    Pre MFE courses

    My pure maths course is not too big on probability as it is usually known. However, I do quite a bit of Measure and Lebesgue integration.
  132. Daniel Duffy

    Pre MFE courses

    https://www.datasim.nl/onlinecourses Matlab and R OK C++ and Python better.
  133. Daniel Duffy

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

    Modern Multiparadigm Software Architectures and Design Patterns with Examples and Applications in C++, C# and Python Volume I Datasim Press (planned publication date December 2023) Daniel J. Duffy dduffy@datasim.nl and Harold Kasperink harold.kasperink@enjoytocode.com Summary The main...
  134. Daniel Duffy

    Quantum finance

    Probably the former. Quantum is not there yet.
  135. Daniel Duffy

    Faster sorting algorithms discovered using deep reinforcement learning

    Good point. Maybe AI defies the laws of gravity. My claim indeed is that this new algorithm to be better explained. Traditionally, superoptimizing is performed via exhaustive brute-force search in the space of valid instruction sequences. This is a costly method, and thus impractical for...
  136. Daniel Duffy

    ChatGPT

    The current reusability levels in software products are too low for ChatGPT to use. There is not much codified knowledge in software at the moment.
  137. Daniel Duffy

    ChatGPT

    https://www.cnbc.com/2023/06/07/citadels-ken-griffin-says-the-ai-community-is-making-a-mistake-by-creating-so-much-hype.html “I do think the AI community is making a terrible mistake by being full of hype on the near-term implications of generative AI,” Griffin said Tuesday during an event for...
  138. Daniel Duffy

    Faster sorting algorithms discovered using deep reinforcement learning

    Where's the meat? i.e. details of how the algorithms work? How can I check it is correct? It is a survey article, like many AI articles. And no references to the CS giants, like Donald Knuth, Tony Hoare et al. Too much gravy and hype for my taste, unfortunately..
  139. Daniel Duffy

    Faster sorting algorithms discovered using deep reinforcement learning

    Have these numbers been independently verified?
  140. Daniel Duffy

    Faster sorting algorithms discovered using deep reinforcement learning

    Was it generated by ChatGPT? An article with > 50 authors doesn't feel right. Sorting is old hat; can we have something more exciting por favor?
  141. Daniel Duffy

    Can a 38inch monitor handle 3 windows properly

    Portraits for code, No C++ templates, thus?
  142. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    Here is a nice example of a student project based on the current material.
  143. Daniel Duffy

    ODE/PDE/SDE online courses for computational finance

    Online ODE PDE Course Ordinary and Partial Differential Equations with Applications to Computational Finance Dr. Daniel J. Duffy (Datasim Education BV) dduffy@datasim.nl May 2023 Ordinary and partial differential equations (ODE/PDE) have major applications in many areas of science...
  144. Daniel Duffy

    Best Courses to take for MS Statistics (BuySide Interest)

    A good test: solve an optimisation by hand, i.e. without a computer, e.g. graphically or high-school algebra. Low-dimensional problems.
  145. Daniel Duffy

    ChatGPT

    It's not self-aware.
  146. Daniel Duffy

    ChatGPT

    OpenAI, the company behind ChatGPT, does offer a service that tries to detect when the AI chatbot has been used, but that detector reportedly has just a 20% accuracy rate.
  147. Daniel Duffy

    Best Courses to take for MS Statistics (BuySide Interest)

    A of Machine Learning, calibration etc. demands a good knowledge of optimisation. Nothing takes place in the world whose meaning is not that of some maximum or minimum. - Leonhard Euler
  148. Daniel Duffy

    Best Courses to take for MS Statistics (BuySide Interest)

    I sometimes go directly to a library as a way to learn a new topic. It breaks the ice as it were. Goofing around throws up unexpected results, which can be good.
  149. Daniel Duffy

    Best Courses to take for MS Statistics (BuySide Interest)

    And havinng understand it all, then Python libraries give implementations.
  150. Daniel Duffy

    Projects idea for students going into quant field

    Developers have a dismal reputations for documenting their code. Most poeple are not interested in reading someone else's code. There should a story Fin model -> math model -> numerical model -> C++/Python -> Conclusions Make sure you understand it A-Z. At least, if you want to win friends and...
  151. Daniel Duffy

    Best Courses to take for MS Statistics (BuySide Interest)

    This is not bad https://www.amazon.com/Numerical-Optimization-Operations-Financial-Engineering/dp/0387303030/ and this has LOTS of examples https://www.amazon.com/Schaums-Outline-Operations-Research-Richard/dp/0070080208/
  152. Daniel Duffy

    Analysis polishing

    I also like “It is better to solve one problem five different ways, than to solve five problems one way.” ― George Pólya “The heart of mathematics consists of concrete examples and concrete problems. Big general theories are usually afterthoughts based on small but profound insights; the...
  153. Daniel Duffy

    Analysis polishing

    By 'analysis' you probably mean 'real and complex analysis' and even maybe numerical analysis. If yes, then they are fundamental. Some topics that I think are important: https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf esp A-D (on the critical path...
  154. Daniel Duffy

    C++ interaction with Excel 365- Error in dealing with

    You are doing somethig wrong . location? . version? https://learn.microsoft.com/en-us/deployoffice/endofsupport/microsoft-365-services-connectivity
  155. Daniel Duffy

    C++ interaction with Excel 365- Error in dealing with

    My environment: Visual Studio 2017 + Excel Office 365 For starters, I recommend VS 2019. And always possible that MS has changed the interfaces... maybe possibly.
  156. Daniel Duffy

    Testing your installation of Excel for C++ course

    Indeed. Excel is a Microsoft product and the driver interface is based on COM. This is a known feature. Only Visual Studio
  157. Daniel Duffy

    What kind of programming will I need to know for quantitative trading?

    Well, OOP and inheritance is an optimisation step ... it is neither necessary not sufficient for successful software. A more maintainable solution is Composition (for structure) and FP for behaviour. OOP in Python seems to be an add on? (abc module) and is not a good implementation ... probably...
  158. Daniel Duffy

    What kind of programming will I need to know for quantitative trading?

    In my experience 90% of OOP in Python is a load of (unmaintainable) junk. I can give at least 10 reasons. On the other hand, Python OOP is a nice medium when you want to learn how design patterns work. Having done that, you can port/rewrite the patterns in C++.
  159. Daniel Duffy

    What kind of programming will I need to know for quantitative trading?

    Of course, Python doesn't engender good programming practices. Eventually, it becomes unmaintainable which may or may not be serious. But for POC and throwaway prototypes it is a good scripting language.
  160. Daniel Duffy

    Why Do Quant Roles Sponsor?

    And Italy.
  161. Daniel Duffy

    Why Do Quant Roles Sponsor?

    Europe has 500 years of mathematical genealogy. https://genealogy.math.ndsu.nodak.edu/
  162. Daniel Duffy

    What kind of programming will I need to know for quantitative trading?

    My guess C++/C Python Java VBA/Excel??
  163. Daniel Duffy

    Partial differential equation for Stochastic calculus finance

    I recommend ODE/PDE before the next courses https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations Then moving to FDM is more seamless. For ODE/PDE, some knowledge of Python and/or C++ does no harm.
  164. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    That's a big list! I don't know what your precise background is, but I recommmend 1. Quantnet C++ (16 weeks) 2. My ODE/PDE course (3-4 months) https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations for starters.
  165. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    This discussion is going nowhere. Again, the terms and conditions are in the book's preface. No one is forcing your to buy a a book from a publisher you don't like. Your are stating to repeat yourself. see my post of 4/23/23 where I explained it all to you.
  166. Daniel Duffy

    Projects in Quantitative Finance

    OR tends to discrete maths. Finite-dimensional space. Many problems start life in infinite-dimensional space.
  167. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    What are your dislikes, precisely? Or just a feeling? Wiley is one of the best publishers around in my opinion.. I published > 10 books with them.
  168. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    The kids have to eat. It doesn't grow on trees. I'm not Mother Theresa. Seriously, if you want C++ code, I provide it for purchasers of my 2018 C++ book. My 2022 is maths/numerics and not a C++ book. The book does not state that I supply code. The terms and conditions are in the Preface, page xix.
  169. Daniel Duffy

    Seeking Advice: Pursuing Applied Math BA as a Foundation for a Finance Degree

    I remember this discussion a while back? Eindhoven is a high-tech semiconductor hub.
  170. Daniel Duffy

    Seeking Advice: Pursuing Applied Math BA as a Foundation for a Finance Degree

    Applied maths embraces many topics which may or may not be useful. Are you eyeing a specific (techniical) university in NL?
  171. Daniel Duffy

    Signs of a good quant employer

    I suppose he'll do QN C++ soon?
  172. Daniel Duffy

    Signs of a good quant employer

    My son took to drumming! // My parents wanted me to become a lion tamer.
  173. Daniel Duffy

    Would Quantnet online course certificates boost my resume during application?

    If you check out my Linkedin profile you find a large number of MSc theses in computational finance that I supervised.
  174. Daniel Duffy

    Would Quantnet online course certificates boost my resume during application?

    For example, projects related my continuing work Online Courses :: Datasim The book Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach, March 2022. Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach
  175. Daniel Duffy

    Signs of a good quant employer

    What's he going to do later?
  176. Daniel Duffy

    Would Quantnet online course certificates boost my resume during application?

    There isn't any more mature, stamina, thorough and professional C++ course than QN C++.
  177. Daniel Duffy

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

    Gradient Descent Method in continuous space By solving an ODE // TestExp5.cpp // // dx/dt = - grad(U(x)) , grad == gradient // Transform f(x) = 0 to a least-squares problem, U = f*f // // Tip iceberg: minimise a function using an ODE solver for a gradient system. // // compute z = exp(5); f(z)...
  178. Daniel Duffy

    Statistical Computing in R

    https://www.linkedin.com/feed/update/urn:li:activity:7060876456251330560/?commentUrn=urn%3Ali%3Acomment%3A(activity%3A7060876456251330560%2C7060927699891970048)&dashCommentUrn=urn%3Ali%3Afsd_comment%3A(7060927699891970048%2Curn%3Ali%3Aactivity%3A7060876456251330560)#?lipi=urn%3Ali%3Apage%3Ad_flag...
  179. Daniel Duffy

    Statistical Computing in R

    SQL is not a programming languade as such. It is 'used' by programming languages. BTW C++ has Poco and Boost MySQL. https://www.boost.org/doc/libs/1_82_0/libs/mysql/doc/html/index.html And SQLite https://www.sqlite.org/cintro.html https://en.wikipedia.org/wiki/POCO_C%2B%2B_Libraries
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