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Small benchmark: Rust against the C family. Quote .. believe that, too. Rust currently has the novelty charm. But I do not see Rust as a serious contender against C++: The language just doesn't play in the same league of "power". I see it as a serious contender against C. Carbon might develop...

Some random metaprogramming in C++17 and beyond. void TestTypes() { // Using C++17's `std::is_same_v<T, U>` format // djd // Compare types and sent the results to the console. std::cout << std::boolalpha; std::cout << std::is_same_v<void(int), void(const int)> << ' '; //...

"Borrow short, lend long".

“fell in love” with ChatGPT It's always like that in the beginning. Wait until you have to maintain all this stuff.

Is ChatGPT any good at explaining/annotating this? riverrun, past Eve and Adam’s, from swerve of shore to bend of bay, brings us by a commodius vicus of recirculation back to Howth Castle and Environs. Sir Tristram, violer d’amores, fr’over the short sea, had passencore rearrived from North...

Question: I plan to move from VS 2019 to VS 2022. What's the easiest way?

It feels a bit like preaching, speaking for myself. It might be a cultural/language thing. It's the way I read it.

“There’s three engineers and a computer scientist who are taking a ride down the road in a car and the car breaks down, and the…, uh, the mechanical engineer says, ‘well, you know, it’s, um, probably something in the drivetrain; we’re gonna have to take the…, drop the transmission out and figure...

Just saw a post on LinkedIn My dream as a 30-years old: to work as a trader in a room packed with people, feel the adrenaline of the noise and be in front of 6 mega screens. My dream as a 40-years old: to run my business anywhere in the world, preferably in a quiet place and in front of a small...

On "new tech", most of the cool features in C++20 were developed 30-40 years ago generics ML and Ada futures/promises/tasks parallel/asynch programming coroutines tuples lambda and functional programmig (1930s) etc.

Good sales pitch. Not everyone wants new tech. I'm sure most quants can make up their own minds. Many have skills beyond programming. Many are interested in math and finance as well. Today's newest tech is tomorrow's legacy, unless software systems have a short shelf life. C++11 is 90% of what...

Why is it a red flag? Just curious.

Excel in finance has a long history. Let's put things in perspective. I'm not talking about "programming in Excel" with macros but Excel interop with VBA, C++ (xll etc.), dll have to deal with legacy systems. I am neutral on which to use but AFAIK traders do use it. How would you replace a C++...

3 programmers (C++, Java and Rust) walk into a bar. barman response "is this supposed to be a joke?" Get it?

Speak of the devil! And here is my detailed answer LOL...

Excel is still important and its interfacing with C, C++, C#. Traders use(d) Excel a lot!

In short, I think interviewers are interested in other things.

I know Harmonic Analysis. It is a beautiful mix of Fourier on all kinds of spaces, Banach algebras and so on. I loved Functional Analysis as undergrad. I am not an interviewer, so I am not sure whether an (unrefereed?) article in arxIv is so special. BTW I have never been asked by a quant "What...

Knowing a couple of languages is a good idea. The Interoperable World of the Big Three C++, Python, C# 2023-2-5 Daniel J. Duffy Quick Note, more later. Breaking News, Pure Python Mode etc. etc., a game changer Welcome to Cython’s Documentation — Cython 3.0.0b1 documentation ...

This is a very specialised area. In 99.99% of developers it is not needed. I would focus on C++20 threads, tasks (futures) and see how that goes. Learning principles versus learning products.

I might apply for that job :cool:

Very nice. The Crank Nicolcon Pade(1,1) is 2nd order and is used a _lot_ in finance. Now, we can discretise Black Scholes pde(S,t) in S to get an ODE(t) and use the above ODE solvers and others (Boost C++ odeint, Python odeitnt). aka Method of Lines (MOL).

In fairness, I'd rather have a C++ TA than some of my Latin teachers at school. In my day there was no C++.

Not much plagiarism on QN C++, which sets the standard :cool: An appropriate saying from Julius Caesar is Alea iacta est.

The deeper problems as I see them are 1. Deskilling 2. Lack of discipline 3. Not real products in many cases, more like "cargo cult" programs. 4. Data Science doesn't have enough maths. 5. What happened to the "artisan expert programmer"? I have seen this evolution for some (extended) time...

In response to OpenAI CEO Sam Altman's suggestion that "a new version of Moore’s law that could start soon: the amount of intelligence in the universe doubles every 18 months," NYU professor and AI expert Gary Marcus said, "A new version of Moore’s law that has arguably already started: the...

Updated version

https://www.ma.imperial.ac.uk/~ajacquie/IC_Num_Methods/IC_Num_Methods_Docs/Literature/DuffyCN.pdf Can compute e by FD schemes (20), (21), (22). How does accuracy compare? (it's about 4 lines of code).

That is Pade(q, p), more generally. Very important for PDE and ODE Pade(0,1) implicit Euler Pade(1,0) explicit Euler Pade(1,1) Crank Nicolson Gives a great foothold into FDM. You could run them as well to investigate accuracy O(dt^(p+q+1)) as dt -> 0.

And Clive Moler is Mr. Matlab.

And I have another 20 methods here https://forum.wilmott.com/viewtopic.php?f=26&t=79451 And use compound interest (that's where e came from way back).

V2 u(x) = exp(x) satisfies ODE du/dx = u u(0) = 1 Use FDM and compute up to x = 1. QED (Padé approximant, essentially) https://www.researchgate.net/publication/228590312_Nineteen_Dubious_Ways_to_Compute_the_Exponential_of_a_Matrix_Twenty-Five_Years_Later

some 1 line feedback from the viewpoint of C++20 and the advanced course. 1. Lambdas are cute in the beginning for initialisation of objects and thread start function in main(). For the rest, not so useful. 1. Projects are fun. 2. C++20 has a lot of nice templarte stuff (e.g. Concepts). 3...

My 2 cents. A Java background is kind of useful for C++. But it is built on a completely different design. In a sense, it's like starting all over again. TBH, I did a Java course in 1997 and I concluded (for several reasons) it was not for me. For maths, it is a nightmare. And the design of...

No UK teams participating?

Pavlos, which topics in the course were most/least 1. fun 2. useful 3. difficult

On C#, it is quite popular and high dev productivity levels are possible. It's a bit easier than C++. C++/C# interop using C++/CLI. https://learn.microsoft.com/en-us/cpp/dotnet/dotnet-programming-with-cpp-cli-visual-cpp?view=msvc-170

Do you know C++, Python?

No. It is not very relevant in my opinion. My recent book discuss the all the PDE methods in finance and more. https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670

https://www.theregister.com/2022/12/10/java_slips_behind_c_in/ The surge in C++, perhaps in part helped by the stable release of C++ 20 in December 2020, is particularly ironic in light of the language's recent dismissal by Microsoft CTO Mark Russinovich, which coincides with industry...

Seems First Derivatives from Newry, County Down, Northern Ireland (just down the road from my little house on the prairie) is active in this area. https://www.irishtimes.com/business/technology/first-derivatives-buys-big-data-firm-quantumkdb-for-2-2m-1.2493722...

https://www.datasim.nl/testimonials A small remark: I was the first C++ / OOP programmer in the Netherlands (1990). So, I didn't come down in the last shower. :ninja:

What about research/IP funding from taxpayer's money. 40 papers is quite a hefty number. How many gems in there? It's about 10 papers/year.

If x is real, then x! is probably wrong. But by trying you get more insights into related stuff. https://en.wikipedia.org/wiki/Gamma_function I think that there is an error in one of your inequalities. what about asymptotic values of x? 0, -\infty, + \infty...

Peer-review of articles is one thing (too late). The root problem is the article itself and the rationale behind it. Many articles in computational finance cannot be "audited" (incomplete context, algorithms, data). Reader requests for feedback on ML articles that claim 10.000 speedup meet...

An interestig follow-on is to prove the individual inequalities in step 1. :cool:

Ideally real analysis <-> numerical analysis <-> numerical methods <-> C++ A 5/10/20 year plan. How do you get to Carnegie Hall? Practice, practice, practice.

This MSc student knows C++ and (C++)++.

Having QN C++ certificate states exactly what you know. It's quantified. https://quantnet.com/courses/

The winds of change? C++ for Machine Learning. A journey of a 1000 miles begins with the first step. DeepPP is a simple library to generate your own deep neural networks. We aim to utilise template metaprogramming to increase performance as compared to standard neural networks implemented...

Nice thing about prison life is time to think about 5-year plans.

Stumbled on TurtleGraphics Serious, just seen that Python supports Turtle Graphics. I used it on an Apple II way back to create business graphics package for project managements. Low level but it could do anything (output to shlow matrix printers). turtle — Turtle graphics. Sample...

Another point is that ChatGPT needs gratis alpha and beta testers for this new product.

All systems WERE always built from scratch, originally. Nothing changes. Amen.

As the relevant technology now stands, Chomsky sees the use of ChatGPT as “basically high-tech plagiarism” and “a way of avoiding learning.” He likens its rise to that of the smartphone: many students “sit there having a chat with somebody on their iPhone. One way to deal with that is to ban...

"actuarial" and "trading" are two words that would not be correlated at first sight. It's pretty clear, TBH. More maths, more programming almost surely.

Another option is my online course in maths. A math degree is good of course. Not sure physics has enough maths in it. https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials And C++ and/or Python are essential.

"Fluent" in 4 languages? wow,

Look up Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, etc. — find an empirical paper or two that stand out to you and try to (1) replicate their results assuming you have access to the data (not sure if you have access to WRDS in your program)...

My two cents. do maths (a mix of pure, applied, numerics). CS doesn't have all that much maths. And CS education doesn't teach programming, IN GENERAL. A bit harsh, but reasonably accurate.

What about Master Theodore Hobbs (4 years)...

“Carefully observe oneself and one’s situation, carefully observe others, and carefully observe one’s environment. Consider fully, act decisively.” Seriously, I was the first OOP/C++ programner in NL in 1989 and I built a company around it. So, it's nice to hear from the Dutch company Tiobe...

Thoughts? me? I haven't a single idea in my head :cool:

Tiobe, who shares a passion for high-quality software with Qt, is providing quality assurance services. Tiobe tests 1 billion lines of software code for its customers, such as Phillips, Bosch, ST, Huawei, and ABB, each day. Tiobe has been awarded a Programming Language of the Year title since...

ChatGPT is elitist; it uses the Oxford comma.

Gilbert Strang at MIT has great online courses. My ODE/PDE online courses and my 2022 PDE book for computational finance. see www.datasim.nl for online courses. Maybe. Real analysis is fundamental. And programming.

I asked if it knew any songs of the Stranglers, a late 70s new wave group. "Walking on the beaches lookin' at the peaches" is a nonsensical phrase and does not have a clear meaning." ChapGPT This is the hottest topic right now And possibly the only one TBH, excluding Twitter of course.

Hey Chat, write an article on SOLID with examples in C++, C# and Python!

My co-author who CEO of a software company asked an employ to write a s/w protype. After 4 hours he gave up. Asked ChatGPT , took 2 minutes . add back end DB , no prob . front-end web UI, shure Working code! Copy and paste on steroids! // A wise move by Microsoft!

I meant courses where 1. you learn real professional programming 2, work on real examples, not silly ones 3 exercises and feedback from TA 4. does trainer/originator have industry experience? 5. testimonials and quality of course. 6. Course pruning, updates etc. These are measurable metrics...

Could you tell us more, please? Have a look at how others pose questions.

Everyday maths

C++ 20 meets PDE, I

Just a guess; try ChatGPT for starters.

Despite it being placed third in Tiobe's January 2023 index, the popularity of C++ rose faster than all other languages last year, up by 4.26% compared with January 2022, the company said. https://www.zdnet.com/article/programming-languages-why-this-old-favorite-is-on-the-rise-again/

Forthcoming book Modern Multiparadigm Software Architectures and Design Patterns with Examples and Applications in C++, C# and Python Volume I Daniel J. Duffy, Harold Kasperink Datasim Press Publish Date Q3/Q4 2023

The Observer design pattern C++ 20 Style We did it in Python code and then map it to C++. @Devon Kaberna @APalley

I am the originator of QN C++ and Avi @APalley is TA/coordinator. Please feel free to conact us for any queries.

Dufft?

..

Up to Claim 1 is standard. After that it is worthy of more detail. Gram-Schmidt process is unstable. Use modified Gram-Schmidt process. Numerical instability doesn't happen all on its own; what is the (root) cause in this case? On a follow-on remark, you need to go back to the fundamentals of...

An example of 21st century Design Patterns. // Strategy.cpp // // 21st century design patterns based on C++ Concepts. // // Examppe 1: An example of the well-known Strategy design pattern. It is an algorithm. // // The test cases are: // 1. Defining standardised interfaces/protocols...

Unfortunately, these courses don't grow on trees.

Quantnet has a Python course, originated and delivered by Avi Palley, who is an experienced finance professional. https://quantnet.com/python/

CAREFUL NOW AI-generated answers temporarily banned on coding Q&A site Stack Overflow https://www.theverge.com/2022/12/5/23493932/chatgpt-ai-generated-answers-temporarily-banned-stack-overflow-llms-dangers “The primary problem is that while the answers which ChatGPT produces have a high rate...

It's "Johns Hopkins"

This is not a book on how to learn Python programming (*) It focuses more on how to apply Python libraries to finance, a recipe as it were. It is also not a book on financial math foundations. For real-life Python I recommend the QN Python course. (*) i.e. building stuff.

Ring Theory and Metric Space have a module to themselves?? feels like padding? no computation there. ODE is needed for PDE. Functional Programming in Python is a (very) small part of Python. OOP is more important. How long has this course been in existence? You never get it right first time...

Some Remarks on Solving PIDEs ------------------------------------- The Finite Difference Method (FDM) is a popular numerical method to approximate the solution of PIDEs, for both the differential and integral terms. In principle, this approach leads to some less than desirable consequences: ...

Numerical Solution of Partial Integro Differential Equations (PIDE) PIDE are common in option pricing and hedging problems with jumps, for example in energy markets. Monte Carlo methods can be used to simulate jump diffusion processes but using them for American options and to compute option...

C++ ranks higher than Java in the Tiobe language popularity index for the first time ever, dating back to 2001. Java slipped to a new low in the latest edition of the index. The December 2002 Tiobe Programming Community Index has C++, ranked third, surpassing Java, ranked fourth. It is the...

The holy grail of C++ templates is C++20 Concepts which is a game changer https://en.cppreference.com/w/cpp/language/constraints Not easy, so I don't see much being written about it. Simple, toy examples will not do it justice.

wow, I spent 20 years trying to learn this stuff. I reckon these courses are like intros?

As C++ developer you need to be to communicate with your buddies via UML https://en.wikipedia.org/wiki/Class_diagram

All the patterns and applications are finished in C++, C# and Python (Harold and I have been doing design patterns in industry since 1994). When you start thinking like a designer you are not confined by the language in use.

Learning generic programming, code structure, design, and honing debugging skills are far more important than learning most of the new language features. Most books do not adequately cover any of these topics. It might be interesting to know that I am writing a book with Harold Kasperink (who...

Once you learn C++ then it is time to do real applicatiion programming A-Z on concrete examples, some examples here https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/ Stackoverflow is OK I suppose (I never use it myself), preferring...

theses on ML etc. https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020 https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019

Life is not simple. There's a number of gotcha catch 22 pitfalls. Feedback welcome. 1. FACT: You need to know some C SYNTAX and savoir-faire before C++. 2. Can learn C++ w/o C but the experience can be painful. 3. C++03 was up until 2000; then came C++11 -> C++17 -> C++20 --> C++23. 4. Can...

My ODE/PDE coursse is on the list of UCB their pre-program courses. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

AFAIK I thinks they like C++.

How is it possible to work on derivative pricing models without C++ and/or Python know-how?

Programming Language Wars https://cs.wellesley.edu/~cs251/f17/assignments/antics/StefixHanenbergLanguageWars.pdf

https://aibusiness.com/nlp/meta-s-galactica-ai-criticized-as-dangerous-for-science Renowned software engineer Grady Booch, one of the trio that developed the Unified Modeling Language, also had concerns. He described Galactica as “little more than statistical nonsense at scale.” Prof. Emily...

From 2014 to 2021, Kite was a startup using AI to help developers write code. We have stopped working on Kite, and are no longer supporting the Kite software. https://www.kite.com/blog/product/kite-is-saying-farewell/ The future is bright We can’t wait for AI to revolutionize programming...

I don't use XLW myself but maybe Quantlib is a bit more friendly? https://www.quantlib.org/quantlibxl/

Gilbert Strang of MIT - who incidentally is my academic grandfather - has many great lectures. He developed the Strang splitting method that I discuss in my 2022 PDE book.

When solving maths problems, I strongly recommend this approach. Can't go wrong. https://en.wikipedia.org/wiki/How_to_Solve_It

Congratulations. You communicated very well on this forum. I doubt there is any course on the planet where you would get the same level of attention as you got from the TAs here.

Here's a representative set of exercises (1st batch of the course) on ODEs.

You're welcome, all set up to lift-off. Good luck!

and, and this book on gettiing NUMBERS out of ODE/PDE https://www.amazon.com/Schaums-Outline-Numerical-Analysis-Francis/dp/0070551979

yep, get that great book by Bronson. You are ready to go, fasten seat belts and lift off.

This book is probably good enough for self-study, It's green/blue belt level...

Of course, I'm not the only person on the planet who writes books on PDE.

SO, I searched randomly on Amazon for books to learn PDE, I came across this book ‘Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)’ by Daniel J. Duffy. I bought this book now. I understand from the content that this book...

I also remember vaguely VBE http://www.cpearson.com/Excel/VBE.aspx

I once did VBA with Excel but it was a while back ... it's a bit hazy .. At the time the stuff by Axel Vogt was very useful https://newtonexcelbach.com/2010/04/01/some-vba-maths-resources/ There might be something useful in there.

No problem. It's good that the new MFE generation don't think that programming is a dawdle.

But my basic question is or I am still wondering is how will your online course help me understand your book well. I mean will it explain concepts or work problems, provides reference material? In the short term, probably not because the stuff is not useful but more because I feel you need to...

Your background (Accountancy) is not exactly quantitative. My book and courses are mainly for MFE MSc Stem students. I suggest enrolling at a local university and do an applied maths degree. You are not yet ready for this book. I have hired two Phd Students, one in Mathematics and the other in...

Ok, since I am trying to understand how best to leverage your online course to complete writing my notes on your Numerical methods book, Ca I please know if there is an online repository of all the queries and answers, topic wise, in your online portal. The reason I am asking, I do not want to...

I will be able to use the notes from the online course to complete writing my notes on your book. What does this mean?

EQ. 2.42 is standard finite difference method for ODEs, Take theta = 0,1/2, 1 to see which specific schemes (see page 326). The book by Dahlquist is a good background if you don't know. Or Liniger and Willoughly 1970. 2.43 shows how to use it in a simple linear case. It's fundamental. And it...

My Phd sir told me the online course covers many more topics than covered in your book. True. So? For students, modules A,B,F,G are the topics for finance students. This is what makes it unique.The other modules are there for completeness. There are numerous books on the other topics (e.g. wave...

It is so that readers of the book are comfortable with calculus, real analysis etc. before embarking on the ODE/PDE course.

Yes. The student exercises are all tested and solved. And they were used to help me write the chapters.

Yes, This book is an update of my fdm book 2006 PLUS mathematical foundations of ODE/PDE.

Yeah, but how does one become "conscious about design choices", sounds a bit of a dumbing down, no? You learn by making mistakes. It takes years to be good at software design. For production, I suppose time to market might have a high priority. BTW this discussion from me is not about...

kdmfe, Since you are doing my numerics course you can send me your ODE questions.

Here's a list of books. S. Goldberg Introduction to Difference Equations Dover 1986 Useful for solutions of difference equations, divided differences and applications. Kreider, Kuller, Ostberg and Perkins, An Introduction to Linear Analysis Addison-Wesley Al-round book on linear analysis...

Hi 1. Which aspects? My coached students who do ODE/PDE course send solutions to me etc. 2. Depends on the employer.

Go for Python. Many do Python these days. https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries...

No problem; my post was not a sales pitch as such. It was meant to give an overview of what you can possibly expect at an interview. C++ tests are like jumping through hoops and not a lasting skill.

No, I don't do interviews. But I do know the possible buzzwords https://quantnet.com/cpp/

How can one have a C++ interview like this? It suggests interviewee does not know C++.

it's called inheritance..

class Programmer : SE { doit() { // program that stuff } }

Merriam-Webster has defined Software Engineering has "a branch of computer science that deals with the design, implementation, and maintenance of complex computer programs." So, a software engineer who cannot program should be the exception, not the norm. Since you say the term "programmer" is...

Doing maths in C++20 // Test001.cpp /* (C) Datasim Education BV 2022 2022-10-20 DJD #8 Super-strippped down sample code to model all kinds of mathematical functions that are neeeded in numerical applications. Here we reduce the scope by introducing scalar-valued functions of a scalar...

Here's an excellent MSc thesis I supervised. Chun got the job done :ninja: https://www.datasim.nl/application/files/3516/0614/0758/Finalthesis.pdf He applied good design and programming skills.

Excellent, Dr.Duffy. However, Black's assumption makes your modification of the heuristic method restrictive or limited. Counterexample: Considering that Black assumes that the option holder cannot exercise the option before the expiration date, which would make the heuristic method fail for an...

Not sufficient and possibly not necessary: "data structures and algorithms" can mean anything. Here is a test: reproduce the results in this article in C++. So, design and implement a solution...

All these IT terms are terribly overloaded I am an architect

Nice thing about definitions is so many to choose from. Just curious, what level of expertise in programming would you consider sufficient for a Quant? Too ambiguous. Can you take a concrete case. e.g, create a C++ class library for interest rates. Write a blockchain.

1. I have resolved the flaws in heuristic methods for Black as discussed in the article and book. 2. Can you be more precise? BTW "software engineer" is a meaningless term. Some don't even (know how to) programmer. Programmer is nicer. A bit dated, but humorous...

A Short History of Computational Finance 1990-2020, a Partial Differential (PDE/FDM) Approach DANIEL J. DUFFY'S HISTORICAL REVIEW FOCUSES ON THE APPLICABILITY OF PARTIAL DIFFERENTIAL EQUATION (PDE) TECHNIQUES AND RELATED NUMERICAL METHODS, PARTICULARLY FINITE DIFFERENCE METHOD (FDM) THAT ARE...

TEST STUFF template <typename T> class PhilipsSensor { private: public: PhilipsSensor() {} void start() { std::cout << " Philips start\n"; } void process() { std::cout << " Philips process\n"...

// An example of a Bridge pattern. // // 2022-10-16 DJD #7 // The Bridge structural pattern models abstractions (defined in class hierarchies, // for example). Each class can have several (volatile) implementations which are also // usually defined in a class hierarchy). The two class...

I am writing a book with co-author HK who took my patterns course in 1992. He is now a 30 year expert, so together 60 years. C++, C# and Python + applications Due Q3 2023.

Hi Devon, Yes, Visitor 21st century and multimethods. And there's more ... I am resuccitating the GOF Pattern intp C++20 style. I'll keep posting here. C++20 Concepts really tax my brain. Why? 7 plus or minus 2. https://en.wikipedia.org/wiki/The_Magical_Number_Seven,_Plus_or_Minus_Two

// DJD 2022-10-9 version 0.9 #6 // (C) Datasim Education BV 2022 /* A really modern implementation of a generic Visitor pattern that is an improvement on other approaches in C++: 1. std::visit() and std::variant() 2. Traditional Acyclic Visitor using subtype...

21st century C++: Design Pattterns, C++20 Concepts and multimethods This code contains: 1. Visitor pattern based on C++20 Concepts (provide-requires contracts). 2. Multimethods (the Holy Grail) .. what C++ tried for 30 years. 3. Multimethods with variadic parameters, a)...

Start with chapter 1, 2 up to 7. Try to program Black Scholes PDE. Other books are referenced as needed. Just start.

https://www.datasim.nl/onlinecourses

21st century C++: Design Pattterns, C++20 Concepts and multimethods This code contains: 1. Visitor pattern based on C++20 Concepts (provide-requires contracts). 2. Multimethods (the Holy Grail) .. what C++ tried for 30 years. 3. Multimethods with variadic parameters, a)...

I am looking for an easy way to import TEX formulae into Powerpoint presentations. At the moment we use Aurora but it does not always work the way we want. Are there other options?

Yeah, stop watching movies and learn a skill, like woodwork or C++.

You don't need 1 terabyte of hd space -> stop downloading movies. 🤣

I just want to say one word to you. Just one word. Yes, sir. Are you listening? Yes, I am. Concepts. Exactly how do you mean? There's a great future in C++ Concepts. Think about it. Will you think about it? Stay tuned for BREAKING NEWS.

Why hasn't the course been updated in several years? C++ 98 is the same as 10 years ago. We have advanced C+11 - C++20 course, Why haven't corrections been made to typos in lecture notes and homework assignments? Good question. I think the answer is from TA and QN admin. I am not involved...

Don't worry, I am not feeling defensive. I do take issue with some of your comments that are not not correct. For example: 1. AFAIR we do C syntax, control in modules 1 and 2. 2. "Computer science course that teaches C++", where. 3. This is a hands-on progamming/engineering course, not CS with...

Thank you for the feedback. Regarding VIsual Studio, do you expect me to create new videos, each time Microsoft comes up with a new version? VS environment and C++ are independent. Some students use gcc. We have been giving C++ courses since 1994 all kinds of industry, finance and of course...

Energy markets might be worth looking into: (spread-style ) options and risk but more complex than in finance. // Python ML not there yet. Statistics always important!

https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations is on the UCB list. We offer a student price.

https://quantnet.com/courses/ My feeling is MECH is out on a limb these days,

LinkedIn is a great medium. I used to to let my work be known to professionals, for example here https://www.linkedin.com/pulse/compendium-my-books-2004-2022-daniel-j-duffy-datasim-/?trackingId=wiMvLZXuezd3xUcf%2BSCWXg%3D%3D...

Update: My C++, C#, PDE/FDM, Boost C++ bookcase https://www.amazon.com/Daniel-J.-Duffy/e/B001IQZ9JC%3Fref=dbs_a_mng_rwt_scns_share

End of September 2022?

He says “an inexpensive Russian-made watch.”

He speaks better Cyrillic than Latin, methinks

I did not enjoy the software engineering aspect. May I ask, what did you not like? content, style, teacher?

My ODE/PDE course is on that list https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

https://garymarcus.substack.com/p/did-googleai-just-snooker-one-of?r=8tdk6&utm_medium=ios

Pure or applied maths?(?)

Here is an article that discusses PDE for Black Scholes and its numerical approximation. Hopefully to clear up things a bit. BTW the QN C++ course has modules on Monte Carlo and PDE _and_ how to implement them in C++ :cool:

to solve we can use either a PDE or Monte-Carlo technique (6.1 Introduction). Author NOT exactly saying that.. (2) numerical methods (1) risk-neutral expected payoff

Glad to be of help. :thumbsup:

Well spotted! Many (most?) people in finance do not have hard-core training in the joys of ODE/PDE/FDM. I have also included several chapters on Linear Analysis and Numerical Linear Algebra to make the book more self[-contained. And detailed PDE for interest rate problems.

Chapters 6 and 10 are a bridge too far. I can give a short answer to your woes: See my book above where I do all these in great detail. (esp chapters 13, 25,26) And most PDEs in real life don't have closed solutions (a kind of myth) ... numerical methods are needed. A modest proposal is to...

Also online ODE/PDE course https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

Fundamental data structures, including arrays, lists, stacks, queues, trees, hash tables, and graphs. Algorithms for searching and sorting. Introduction to analysis of algorithms. Applications of these data structures and algorithms. We do these as part of the QN C++ courses, including...

PDE for Stochastic calculus What do you mean by this? SDE ? Have you seen this? https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670 BTW I am probably the only author in this space with (primary)...

That course sounds very exotic and somewhat diffuse. What are the prerequisites? https://www.datasim.nl/application/files/4715/3069/5621/DL_Advanced_C___course_contents.pdf // I don't have any opinions on Rust vs C++. // Such discussions are not productive.

OS and Computer Networks course in C++ I'm just wondering what one can do in C++ for OS topics. Kind of tenuous? Booast C++ asio?? Just curious.

Principles of Software Design - Brief overview of typical software development lifecycles. Systematic methods for designing large-scale, quality software. Concepts such as abstraction, modularity, and software modelling will be covered. Designing for non-functional properties of software will be...

Excellent command of the English language, right up to the Oxford comma.

Ok. Here's the specification for the binomial method. A nice exercise is to map it to C++ or Python. https://en.wikipedia.org/wiki/Binomial_options_pricing_model

Depends on what you learned in those 3 (!) courses. How do they compare with QN C++? Were they syntaxy stuff w/o real examples? Just asking. https://quantnet.com/cpp/ TBH are you able to design a binomial solver from scratch given your current knowledge? @APalley

Depends; how is your C++ knowledge? none, a little, novice,,,? // my books are on Amazon.

Wiley used to give a CD with the book... Your university needs to contact me. And the 2006 book is a long time ago. Go for my new stuff, e.g. QN C++ course.

Hope you are doing well since the last reply. I'm not dead yet 😱 I need proof of purchase. Thank you. BTW the C++ compiler has changed a bit. My 2018 C++ book does lattices etc.

Sounds like a Dutch name! I live in Koedijk 😀

“As time passes, the system becomes less and less well-ordered. Sooner or later the fixing cease to gain any ground. Each forward step is matched by a backward one. Although in principle usable forever, the system has worn out as a base for progress. ...A brand-new, from-the-ground-up redesign...

yes! Unfortunately, some teachers (w/o programming experience, maybe) don't really know C++ and have even less interest. Now, a really exciting and NOT monotous course is this. I can vouch for it because I originated it https://quantnet.com/cpp/ It is the best investment ever. I'm very...

In general, your attitude to programming means that you are limiting your chances. Everyone codes and programs these days.

In my 45 years in software I have never heard this term before. It is pure fantasy. RSE is someone who writes (readable, reusable and maintainable) They are looking for someone to clean the mess? Yes GIGO "A Big Ball of Mud is a haphazardly structured, sprawling, sloppy...

I give these. e.g, ODE/PDE is on UCB list. The only PDE course dealing with finance. And I am originator of QN C++. https://www.datasim.nl/onlinecourses