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Premature optimisation?

Seriously, you can solve that problem by refusing to debug someone else's code. C programmers have been writing code since the 80s. Memory is a non-issue.

Buckets! 1. Finite Elemensts, PDE 2. Machine Learning e.g. RKHS 3. Generalised Numerical Analysis. 4. You can define a prori error estimates in convergence processes FA is so cool.

Rust is not suitable for my applications .. for me it's just another (quiche) language. Not intellectually stimulating. i wish quant never code in C++ so i don't hv to debug mem issues for others How did you wrangle yourself into this awful predicament? Somewrong wrong here.

what's the real type of i?

https://citaten.net/images/quote-images/c/cruijff-je-kunt-beter-ten-onder-gaan-met-je-eigen-visie.jpg

Java in general is used in quant. Personally, I see more interest in C#, Python and C++. My own limited advice is that these languages have better longevity. Caveat: I don't move in Java circles. Take my remarks with a spoonful of salt. For mathsy kind of finance, C++ is more appropriate...

Regarding C# perspective., iis is so that many banls use it, e.g. fixed income (See Duffy/German 2013) . It is a poweful language + high productivity levels. I have been using it siince 2000 (version 1.0) in client trainng and applications for PDE, CAD and holography/optics. And C++/CLI is...

Functional Analysis and its (numerical) applications is a useful area. As is Real Analysis. Here's one perspective. https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf

I reckon if you know C++ you can learn Java (not including libs) in a few weeks. Java Generics is (was?) awful. I did Java in the 90s. Didn't like it .. that's just me. Not intellectually stimulating. It is useful for web apps but it won't teach a discipline of programming. Java started life...

You mean, Java? I suppose there's zillions of Java courses.

How many have emigrated?

Linda and Dan are great ambassadors.

BUMP

C++ 20 Concepts are 1. Game changer 2. Polymorphim on steroids 3. Allows us to use C++ as an Architectural Definition Language (ADL) 4. Seamless integration wiith my Domain Architectures 5. Standardised interfaces (contracts), just like hardware interfaces. 6. 42 7. Can be used with We use the...

How Lituania counters Kremlin proagandas. DebunkEU.org, VsI, is an independent technology think tank and non-governmental organization that researches disinformation and runs educational media literacy campaigns. DebunkEU.org provides disinformation analyses in Baltic countries, Poland, Georgia...

Looks like the dude in "Highlander"

You bring out the best in me.

Looking forward to it. For my part, if you have queries for us (even difficult ones on C++20 Concepts 😍 or anything really ) please don't hesitate to post. https://www.datasim.nl/application/files/6716/1131/6643/Global_Overview_Cplusplus17_and_Cplusplus20.mp4...

Bullshit. Pity you don't have a real name here. Internet warrior.

Russia-Ukraine live news: Moscow bombs Mariupol school shelter (Aljazeera!!) https://www.aljazeera.com/news/2022/3/19/russian-forces-push-deeper-into-ukraines-mariupol-liveblog Seemingly, 90% of the buildings in Mariupol have been destroyed.

Only against liers. Nice try. Are you sayimg those wingnuts are not patsies? RT is mostly garbage, indeed ... you seem to have fallen for its propaganda, RT has regularly been described as a major propaganda outlet for the Russian government and its foreign policy.[2] Academics...

He who pays the piper calls the tune. Bunch of patsies.

One more thing .. Learning how to "program" by code copy and paste from StackExchange is a road to nowhere.

I was 10 during the Cuban missile crisis. The government issued us with iodine tablets and cardboard boxes.

Наши, https://en.wikipedia.org/wiki/Nashi_(youth_movement)

“Four young porkers in the front row uttered shrill squeals of disapproval, and all four of them sprang to their feet and began speaking at once. But suddenly the dogs sitting round Napoleon let out deep, menacing growls, and the pigs fell silent and sat down again. Then the sheep broke out into...

Rust aims "to be as efficient and portable as idiomatic C++, without sacrificing safety It that all? Rust == C+- ??? What has Rust got to convince yours truly to use it? As Dominic Connor might ask: is it a quiche language? It is #26 in the Billboard Top 100 https://www.tiobe.com/tiobe-index/

Napoleon had denounced such ideas as contrary to the spirit of Animalism. The truest happiness, he said, lay in working hard and living frugally. – George Orwell

I agree; about 1 week to install and + hello world. If you know Italian, you learn a bit of Spanish fast but it will take longer to think in Spanish. And becoming fluent is not easy. Many C++ developers don't use templates..

This could be taken word-for-word from Orwell's Animal Farm for those familiar with that book.

next? The swimming pool and hostages

That you can speak in this flippant way says buckets. Or is it satire?

were they hiding in the theatre? дети https://media-exp1.licdn.com/dms/image/C4E22AQFj7UTjRPLyLQ/feedshare-shrink_800/0/1647509700306?e=1650499200&v=beta&t=4uduBfTn9EI9SqA8YaUI7dP41paqDQ_0juu_zC0EwL4

Some more random one-liners on the importance of C++: 1. It will be here forever, in all industries. C++ was born in 1983. yours truly has been usimg it since 1989. I was the first C++ programmer in The Netherlands. 2. The only truly multiparadigm language ('tho C# comes close). 3. Major...

So, next step is to flatten Mariupol, its hospitals and starve civilians.

mathematical computation course Is that a degree in itself? what does the course look like? It is not mathematics as such, but an application of mathematics. Just sayin'

Calling C++ from Python Calling Python from C++, really? Here is pybind11 in computational finance. https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020

pybind11 and Boost Python, usually. https://docs.microsoft.com/nl-nl/visualstudio/python/working-with-c-cpp-python-in-visual-studio?view=vs-2022

Excel 2007 and VBA.... Barny Rubble.

This list is getting long in the tooth. i.e. it is outdated. I have at least six of my modern books for an updated list. And a section on Machine Learning is needed.

Will Putin chance his colours? Is he heading for a fall?

And apart from passing stuff. C++ leads to much better programming skills, compared to anything else out there, i.e. long term benefits.

Nah, it's about regime change and installing a puppet show.

KInda superficial.

Bringing FAKE NEWS to the next level https://www.rte.ie/news/2022/0311/1285683-ukraine-russia-media/ It follows the signing into law by Russia of an amendment to its criminal code, just a week ago (Friday 4 March), which makes the spread of "fake" information an offence punishable with a jail...

According to the ministry, the alleged airstrike is nothing but a completely orchestrated provocation to maintain anti-Russian sentiments among Western audiences. Читайте больше на Russian Ministry of Defense explains 'shelling' of Mariupol maternity hospital Of course, comrades.

https://english.pravda.ru/news/world/150648-mariupol_lavrov/ pravda?

When the War Crimes Tribunal starts in the Hague this event will be seen as a war crime. Wait a few days before they start using chemcal weapons as they did in Syriia. You will get another chance to claim it is "Western media is utter and unadulterated garbage." BTW as soon as I see...

Just another Putin patsy.

You were a bit too fast on the draw. No, don't try to patronise me Actually, I tried to post a video of a QAnon wingnut who trusts Putin more than Biden, Now, Oui-Gon, QN disallowed the video, so I gave up. OK, it's on LI check it out Oh.My.God!!! Here is a rightwing, republican nominee for...

.

Oui-Gon, Here's an example; Bomb a maternity hospital Are you beginning to get the idea? "We don't understand how it's possible in modern life to bomb a children's hospital. People cannot believe that it's true," Mariupol Deputy Mayor Serhiy Orlov told the BBC...

They can't beat Ukrainian soldieers, so they bomb civilians and nuclear reactors. You don't need to masticate or phiosophize on the context, it's standard documented technique down the years, and even worse. If you don't know, please do some background research.

No wonder Russians who don't want any part of the invasion or the trouble it's creating inside Russian towns and cities are desperate to get out of the country - and make a living for themselves outside. https://www.bbc.com/news/world-60624500

Judo for oligarchs Another instructor at the same club, a former Olympian, used to say, ‘First of all you must destroy their grip, then their rhythm, their balance, their morale, their will and their technique’. He saw competition as a sort of unpleasant converse of St Francis of Assisi’s...

The Aljazeera take https://www.aljazeera.com/opinions/2022/2/26/putin-is-a-war-criminal-and-should-be-treated-as-such

"Medieaval warfare with modern weapons"

I was once at a finance conference is Lisbon in 2015 to give a speech in a room of 500 academics. 30 seconds before I started a famous Soviet stochastic scientist asked - what dou tgink ov Putin (room goes silent)? - me: propaganda. enough of this banter (not batting an eyelid) and that was...

Roskomnadzor has ordered media across the country to only publish information provided by official sources. It also forbids describing the unprovoked actions as an invasion or a war, instead insisting they are called "special military operations."...

probabilistic beliefs, right, must remember that one..

Practice. Harder. The cluster bombing of hospitals and civilians, what's you take??

Hostile? No. That's your interpretation of my words. Carlson is talking horse manure. He's full of it. :mad: Try Aljazeera if you can receive it. I watched Russia-2 a few weeks ago in Portugal and no mention of war. BTW don't use "War" because they will send you to the gulag for 15 years!

With regard to the invasion, both are on the same page. The exception is Tucker Carlson on Fox. The exception proves the rule? FOX NEWS IS FAkE NEWS. And Carlson advises snake oil

What community would that be? How do I join?

https://www.bbc.com/news/world-60597751

I watch NEITHER. I trust Irish journalists. https://www.rte.ie/news/ukraine/2022/0309/1285264-ukraine-day-14/

I didn't know who UNZ was until BBW posted today https://en.wikipedia.org/wiki/Ron_Unz and I don't want to know. I tend to watch BBC, Aljazeera, Sky News from reporter on the ground.

At some stage you have to take sides. Racist and anti-semitic UNZ is not one of my sources. Its not a popularity contest! At some stage the bombing of 80 Ukranian hospitals will be officoally registered as genocide and a war crime.

You are a great one for the nuance.

You seem to be wallowing in this. From Wiki, UNZ posts racist and anti-semitic contentt. My judo teachr Wim Rusksa won 2 gold medals (heavyweight, open) at the Munich Olynpics. In the open, he lost an early round but came back in the final yo win gols against Kuznetzov He used to tell us how...

End of "Splendid Isolation". The rest is history. Innocense lost.

Michsund, Do you what happened 7 December 1941?

Oh dear. Washington was wrong. It's the 21st century, not the 18th century. FYI, I am well-versed in history . I'm a grown-up ;) Rumour has it Putin has bombed 80 hospitals in the last week.

Read some history instead of piddly self-interest.

C++ forces you to become good. There is no half-way house.

https://www.france24.com/en/live-news/20220227-international-judo-federation-suspends-putin-as-honorary-president

I was on the judo mat yesterday and I suddenly realised that the tatami's colours were those of the Ukrainian flag.

Politics have no relation to morals. Niccolo Machiavelli

I have a confesson to make. I like this music

This is really bad. Picking on the small guys. Here is the real story from Amsterdam. Home of the компания по производству почтовых ящиков. https://www.dutchnews.nl/news/2022/03/dutch-law-firms-warned-to-watch-out-for-russian-sanctions-busting/

Rui Fausto is Full Professor of the Department of Chemistry of the University of Coimbra and is the coordinator of the Laboratory for Molecular Cryospectroscopy and Biospectroscopy of the Coimbra Chemistry Centre of the Department of Chemistry, University of Coimbra, which he created in 1994...

yes, it's ridiculous targering Russiian people. It's oligarch$ they should be targetting.. It's a blunt instrument. Many Ukranians work in Russian institutions And Russian is their first language. BTW who is that dude Rui Fausto?? He has 1 connection on LinkedIn.

What's the party line these days, товарищ? Should I stop Russian Sambo?

I hope they don't ban (Soviet) splitting methods https://www.wiley.com/en-gb/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719670 It took the West almost 70 years to discover them!

I once attended a talk by Dr. Carr at Broad Street in 2001 on using Operator Calculus (continuous semigroups) on computing greeks. It is very insightful approach https://www.researchgate.net/publication/3847827_Deriving_Derivatives_of_Derivative_Securities Basically, each greek (a kind of...

However, it's really not that hard to learn to learn how to code, and you can probably learn the needed coding skills in a few months if you're smart. It's much harder to learn the math and stats needed for this job, so employers and grad schools focus on those skill sets over coding or...

I would reckon for compile time arrays of size 9 that indexiing [] is as good (or even better) than hashimg (and less memory?) And less programming.

Can you remove ++index and put it into function call ... toFile(.... index++)? Of course, I'm guessing.

I hope not! need progress in 4).

?? wazzup :-)

I was afraid about that :)

why not try std:array<std::array<int, 9>, 9> or even std:array<std::set<int>, 9> Basing on Java (no stack) is that a good idea, It's a tiny matrix 9X9. Orginal hashset feels like a sledgehammer. Defining a hast on an array of size 9?

A wild guess might be to have a look at Boost Bimap for nested data structures (AFAIR it's in the ADV C++) https://www.boost.org/doc/libs/1_78_0/libs/bimap/doc/html/index.html And maybe Multiindex https://www.boost.org/doc/libs/1_78_0/libs/multi_index/doc/index.html

Can you explain/paraphrase the problem? Nested ordered sets? Why?

London and NYC are completely different ball (high perfomance) game from Europe. 8.00 - 20.00 is quite common and then a 2 hour commute. Maybe the stakes are higher.

I was speaking in general. The exception proves the rule I suppose. Then you are in the < 1% who have > 40 hour work week. // I haven't worked for an employer since 1985 so I might be out of touch. One thing is sure: 24 hours in a day and you have the evening to relax.

some feedback, just an idea 1. for (std::size_t i = 0; i < nPointers; ++i) etc. 2. std::cout 3, new ??? where da delete? What's wrong with smart pointers in this code? 4. C++11 etc. initialisers for aryStock maybe https://en.cppreference.com/w/cpp/language/initialization

Brainstormin idea; assuming iv has a single root, write f(x) = 0 as a least squares problem and compute its minimum using Golden Search/Fibonacci. https://en.wikipedia.org/wiki/Golden-section_search A lot less coding than Brent.

More generally, most companies in NL have 8.30 - 17.00 work schedules. Probably simlar to French, with possible exceptiion of lunch :giggle: Just in time for the traffic jams to Almere.

If you get time, give us a shout on how it went. You can benchmark againg Python and Boost. It would be an interesting test of accuracy, robustness, effiiciency etc.

That's a good argument :) I might even try it myself. 1. Brent, R. P. (1973), "Chapter 4: An Algorithm with Guaranteed Convergence for Finding a Zero of a Function", Algorithms for Minimization without Derivatives, Englewood Cliffs, NJ: Prentice-Hall, ISBN 0-13-022335-2 (can alway write f(x) =...

Yes, it is in Boost. It works very well. Can you be more precise? Do you want other solvers for a problem? etc.

Well, you need to check if Matlab is hot. The quants on this forum would have a more precise idea. 1) more maths IMO. The maths CV comes across a bit like a toolbox, as a blackbox. Can you program all the FEM stuff in say, Python? 2,3,4 Sorry, no idea.

AFAIR Matlab is still used but Python is more popular and less expensive. Of course, Matlab is not real progamming, it is more of a very useful tool. Real coding skills are good to have.

A number of Python libraries are Fortran wrappers (e.g. QUADPACK). There is absolutely no point rewriting them in C++ or Python. https://sites.engineering.ucsb.edu/~shell/che210d/f2py.pdf f2py

What are the strong points of C++? Here is my_personal_initial_bullet_list that I find/found important: 1. Mature, continuously being developed, yuge user base (calll it legacy if you want). 2. Multiparadigm (procedural (aka modular), object-oriented, templates (generics), functional style)...

What? What methods do you use? wave equations?

Although the neural networks for computer vision models were written in Python, he added, the Tesla team would need people with excellent coding skills, especially in C and C++. C/C++ for building self-driving cars might sound weird, but Musk’s tweet does raise some doubts regarding the hype...

Like this young chap? https://static01.nyt.com/images/2017/09/10/arts/10YOUNGSHELDON1/10YOUNGSHELDON1-jumbo.jpg

Computing era just beginning. The revolution has just begun.

C++ is a skill and you learn much of what is needed in later life. And TAs who respond speedily to all your questions.

Yep, that proves it :love: case closed

Even Galois had to do some study.

Don't want to be too criitical, but progamming courses in universities are not good (and many are atrocious) in general. There are many reasons for this (believe me for the moment on this). We don't have the headaches you mention in the QN C++ course https://quantnet.com/cpp/ In a sense, the...

Probably not. It's a question of achieving intellectual maturity, like well-seasoned sherry. Being a maths student probably means your programming skillls are probably weak. It all takes time.. BTW what "kind" of math degree is it?

And when you are finished you can tell the copy and paste data coders how to do it properly. To make life easy, just use the same class structure 1:1 and change C++ syntax to Python syntax. Piece of cake. Get it working, then get it right, then (AND ONLY THEN) get it optmised. And implement...

OK, I'll bite A concrete and focused example is to port C++ MC option pricer to Python. Try to program it from the ground up instead oopy and paste from internet. It makes you stronger :ninja: V1: Serial code V2: Parallel code in Python (threads or future) Use the RNG stuff in numpy...

@APalley

https://numpy.org/doc/stable/reference/random/bit_generators/mt19937.html https://en.cppreference.com/w/cpp/numeric/random Confused and loose post: what is the goal? There is no point trying to write your own RNG (and this holds for 95% of quants).

stochastic process is nothing more than just a a sum of random variable (as increments). That description is not even wrong.

A bit of a preview of some topics Several chapters are devoted to FDM for 2-factor European/American options We tested the relatrve performance on spread options for the same level of accuracy: 1 Saulyev ADE : 1 second 2 Barakat and Clark 2.2 3 Yanenko 4.2 4 "Classic" ADI 4.0 (4 times slower!)...

What about energy markets? a lot of pricing, hedging and optimisation of high-factor American spread options and much more. (real optons as they are called). I imagine a lot of opportunity here, based on anecdotal evidence.

APL is is very powerful and influential language. The last time I used it was when I was teaching numerical methods to senior undetgrads at Maynooth University in 1980. It's a pity that C++ does not support its n-d data structures. APL kind of reminds me of Python Pandas. The APL keyboard was...

APL, wow!

One-liners in OOP 1. Multiple inheritance was not a good idea. C++ does not support interface keyword. The AI community used MI a lot in the 90s. 2. Not evertyhing is an object. Behavioural commonality is not structural commonality.This messes up class hierarchies. 3. Deep class hierarchies...

Anyways, fiddle-faddle language skirmishes in the last 40 years are of no consequence in the bigger scheme of things. A major blunder in the 1990s leading to the current software legacy crisis was: 1. Structured Analysis bad, OOP good (actually, I use the two since 1995 in my From Chaos to...

Back to the Future Contect Diagram very important. https://en.wikipedia.org/wiki/Structured_analysis

Absolutely! I have been waiting on this feature since 1996 but it has taken some time for the industry to realise that pure OOP is not enough!! The related analysis is called Functional Decompositon in combination with my Domain Architectures. In order to use C++ modules (I discuss them in the...

Some book updates from my own pen // PDE/FDM 2022 eBooks will publish on March 11, 2022. In store date (the date books are available at retail) is March 17, 2022...

Last but not least, like Toyota and Carlsberg , the two Quantnet C++ courses are probably the best on the planet I have been told :cool:

Thanks. I started maths in 1971 LOL. I got my 1st FEM course in 1974. I would say major blocks in my Pure maths course (analysis) are vital. Regarding numerical analysis, it is not necessary to know the theoretical stuff but more a good hands-on feeliing on how to use the methods and after...

Hi alovya, I was planning to writing up a small response offline indeed. I am not in IB or a headhunter but my focus is on learning important stuff in maths, C++,. Python. My online courses are on www.datasim.nl and I do much of everything. Have a look at your convenience and let me know if you...

It's not every day one comes across someone with FEM and computational fluid dynamics. It was an area I worked in both in academia and industry It turns out that my PhD research in 1980 could be direct;ly applied to PDE in finance. I have written up here for FDM...

Tbe best course is QN C++ but maybe wait a few year before doing it.

I get quite a few invitations in LI and sometimes when I scrolled down I can see a copy of the certiicate. That was a while back so maybe things have changed in this regard.

I second Quasar. Forking out 15K is a lot. set up a plan and a timespan and execute it.

Regading ODE/PDE courses, this course does all the ODE and PDE stuff in other generic engineering-style courses as well as finance-related topics such as popular Black Scholes, CIR, HW PDE + FDM, as well as my own research on resolving a number of misconceptions on how PDE is used in finance...

A possibility is to upgrade or learn new skills. e.g. become a professional programmer or data science. Do you use Slang etc.?

Some general remarks 1. Strengthening of maths skills is a good idea, in partricular more focus on analysis type stuff beyond linear algebra and its applications in Econometrics Some universities have ODE/PDE as prerequisite probably because they are important in their own right as well as...

"I definitely agree that the Advanced C++ course would be a great way to hone your skills. The prerequisites for the advanced course are as follows: · Proficiency in OOP, inheritance, polymorphism. · Proficiency in generic programming (C++ templates). · Deep understanding of C/C++ memory...

Out of curiosity ... are names like Calculus (1 to n) and their contents standardised in the States?

Calculus III/Vector Calculus Has the title changed on the fly? :LOL: It's Vector Calculus/Vector Analysis. Anyways, what's in a name? BTW in which courses do people learn real and complex analysis?

In my days the above Calculus III would be desribed as Mathematical Methods 231. Useful course but it is not hard analysis and I don't see it used much. Just saying. Other maths for say ML is needed.

I doubt it very much.

'better' when comparing X and Y 'best' when comparing X,Y,Z, ...

C++ is a skill and this course has evolved to its current streamlined form down all those years, It is a big skill.

Succes! Ik heb deze cursus ontwikkeld! De eerste C++ cursus ooit in NL was in Amsterdam 1990, georganiseerd door miijn bedrijf Datasim. (Hotel Americain, Amsterdam)

remember, OP has a degree in LAW. And the top US/UK MFE coursee are very quantitative. I think your post is not very accurate.

Probably not.

Any updates, Aaron? what's the landscape in 2022? @Aaron Brown

Gil Strang is probably the best maths educator around. His focus is mostly linear algebra and his videos are excellent, especially his linear algebra videos. Actually, he was PhD supervisor of my PhD supervisor, so he is my academic grandfather :) I usually write all my own stuff. My...

Black Scholes pde 101

Here are some <<detailed>> testimonials fron real students on the QN C++ Course. https://quantnet.com/threads/c-online-programming-cert-testimonials.9227/page-12 It would not be rocket science/neuro-surgery to standardise course review processes.

And writing contracts

Then you are not looking hard enough.

Which book? Have you tried Wikipedia?

Is this homework? Do you read books?

Yeah, maybe waiit 10 years to see how that ML pans out. Then you can do a PhD for fun.

You do a PhD not for the money, but because you REALLY want to. You are on your own and don't expect supervisor to be alwaay accessible. And Pay <<< prop shop. topic of deep learning/machine learning in Finance. Bleeding edge, what will ML look like in 2025?

Very interesting article.

This book is good and maybe a precursor to Shreve. https://www.amazon.com/ELEMENTARY-STOCHASTIC-CALCULUS-Statistical-Probability/dp/9810235437

That's why I prefer Glasserman .. he integrates the two approaches. Horses for courses.

Depends how you define stochastic calculus. Because you will only half understand stochastic calculus by studying theoretical SDEs. It is too one-sided; besides most SDEs don't have analytic solutions. Ideally, you need to learn Measure Theory and Lebesgue Integration as foundation. How in...

It has no numerics. Even Euler method only gets a one-line mention.

Why has no one mentioned Glasserman (2004)?

Content aside, I hate the writing style, tone, random topics. It's all over the place. It is a Molly Bloom soliloquy internal monologue but with punctuation.

It's not rocket science.

Try this line

Undergraduates nor MSc don't do "research".

I studied analisi numerica in Pavia some years ago. And I did 5 years of private lessons the hard-core way. Knowing Latin is useful. I would say it is never too late as such altho' I would recommnend to hurry up. Festina lente.

No problem. It's just native English screechers might get confused. severe lack of programming and data science/ML knowledge. These days you won't get far without them. This should be clear at this stage. I definitely need to study after my PhD. Probably too late. IMHO Why not try to embed...

small question: in the title, by "Academy" you probably mean "academia"? Academy is a highly overloaded word. Some people mighy confuse it with Hollywood.

Count me in! I can give an advanced C++ course on the way there to keep people sharp. We need a good internet connection with the TAs.

Any plans, Devon :-)

ODE Gradient Systems for Optimisation in Finance and Machine Learning, new Perspectives https://www.linkedin.com/pulse/ode-gradient-systems-optimisation-finance-machine-learning-duffy/

Here's an interesting approach: using ODEs to solve optimisation problems. High potential. // TestExp5.cpp // // Using ODEs for optimisation. The very very simplest example to show how it works in the scalar // case. // DJD // Systems? this is an execise. // // //...

非常感谢你，达菲博士。看来我应该专注于更基础的数学和统计学知识。 Thank you very much, Dr. Duffy. It seems that I should focus on more basic mathematics and statistics. Wow! Did I say that? :)

Technology changes very quickly, so keep an eye on fundamental skills. semper discendum

"Data Science" means different things to different people..

Apart from anything else, C++ is a real skill to learn. If you master it you learn _any_ programming language, for sure. For UCB, you need ODE/PDE AFAIK.

Too difficult for the average newscaster :-)

C# is great. It has a lot of similarities with C++. Good luck.

Why?

A very general remark: most CS curricula don't have the kind of maths that is needed. They probably weren't built for that. And the maths in CS tend to be discrete data structures; little pure or applied analysis. Just saying.

we need a Greek letter \nu ??

I can imagine they are fast :-)

Some random remarks I suppose the world is changing. A while back traders would have quant developers helping them with Excel addins, coffee etc. I wrote a book on C# in 2013 with Andrea Germani (Lodi, Milano) who at the time was a trader and wrote his own code. I know several traders who have...

In my book this does not prove programming ability. It is however better than multiple choice questions. Do traders need to be able to write their own (production) C++ code?

The best way to get a good grounding in programming is C++. All the other languages might be OK in places, but thy don't cut the mustard. And that's the way it is.

, C++ is often not a key aspect that is assessed in the interviews and PDE pricing even less. General programming aptitude is. What is "general programming aptitude"? Sounds fuzzy. Is it just to write prototype proof-of-concept code or at the other extreme multithreaded event-driven frameworks...

I have been to NYC but never to Pittsburgh. It probably has changed a lot since my day. All I knew is that song by Pete Seeger, BTW wasn't CMU ranked #3 for 2022?

You were probably in a "real" pure maths department..

While on the 'bathwater' analogy ... In ML PDE/FDM with C++ is often used in the training for several reasons and researchers are working on new methods such as RKHS and nd PDE for ML algos. Here is a recent thesis with interesting conclusions...

The "elephant in the room" is the issue of how to write maintainable Python programs. No one talks about it... Sapir-Whorf strikes again. I'm talking about programming as a discipline and not ad-hoc "coding" as it is sometimes called. Maybe people just accept undocumented unmaintainable code...

Yes, I know. From a career viewpoint, knowing just Python may not be enough; it is a very useful tool, like Matlab. C++ is a skill and will be here forever. If you know C++ you can get the hang of Python in a few weeks, but not the other way around. Just saying.

While the production implementation is often in C++ and written by developers, prototyping is typically done in Python. Each organisation is different but some scenarios are (let's take a pricing library) A Quant 1 creates prototype in Python Quant 2 creates production version in C++ B Quant...