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Maths theses need time to incubate, indeed. Exx. generalise CSM to n dimensions and use it instead of Automatic Differentiation (AD) in ML, especially in gradient descent etc.

You've already told us all that; you're hogging the forum.

I hope you do my PDE/FDM/C++ courses!

Depends on your mathematical sophistication. Hull is practical.

2. I'd like to do a PDE-based project. Any tips on where I should look for project ideas? Project idea do for UnCertain Vol,Heston,SABR. Here is a very good MSc PDE finance thesis from 2015, supervised by DD. Quasar; see also www.datasim.nl for theses 2019/2020.

I do PDE/FDM finance project as part of my online courses. If you wait a few months you can see them in my forthcoming book. And many are programmed in my 2018 book Financial Instrument Pricing in C++ (Wiley). One-stop shop :) Logan's book is great if you are studying biolgy. A bridge too far...

Buy Hull and Joshi.

Good :-)

C++ treats variables as criminals, Python treats them as consenting adults.

This https://en.wikipedia.org/wiki/Variable_(computer_science) and then in Python versus C/C++.

Python is A big difference between C and Python is in the area of variables A-Z.

No idea.

?

Out of curiosity, which programming langauage(s) do you know?

At the end of the day, programming entails 2-3 fundamental activities 1. Variables 2. Functions 3. Creating algorithms that use 1 and 2. Maybe C is too rough just yet, but a good way might be VBA in Excel. file:///C:/Users/DATASI~1/AppData/Local/Temp/VBAPrimer.pdf Nice thing about Excel is...

Sorry to hear that.

Did you try programming them or just reading? The point is you get support from TAs which cannot be encapsulated in a book. Hands-on is what matters. Like learning martial arts, you need trainer.

The Quantnet C++ course assumes no prior knowledge of C++, A wise decision was to do a couple C modules. In fact, quite a few students had never programmed before. https://quantnet.com/media/categories/level-1-videos.2/

Mostly PDE/FDM pricing libraries in C++ for speed and versatility. I give all these online courses.

The C++ part is outdated; it is early 90s. It is still useful to know but C++ has moved on.

Some useful do and don't when designing applications in C++. 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...

C++ is one of the few serious programming languages that helps you develop into a competent developer. The various skills that you learn cannot readily be developed in other languages because many of them treat you like a child, or hide important details that you will never get access to or even...

I have no real idea. Like 2nd hand cars, they can be cheap and cheerful, and pretty much useless. QN C++ is great value for money.

This C++ book by the late Dr. Joshi is severely outdated. The best way to learn C++ is to take Quantnet C++ online course. One learns C++ by doing, not reading. I have several books (lost count how many). See also...

Fortran is great, but very very niche. Python is popular. C++ is a skill. background is in applied maths, physics and numerical analysis. I know a lot about solving differential equations and high-performance compute I have a new PDE/FDM book (Wiley) coming out in a few months, so right up...

How's your C++?

Bla, bla bla. Heard of smart pointers? Try this There are two kinds of programmers 1. those who do C++ 2. those who talk about C++ (ad nauseam) Anyways, you did not address my queries on Rust.

KKOP rocks. It also has linear algebra and more.

Sounds too good to be true. Is it a one-trick pony? Rust is #24 in the top 100 Billboard charts. https://www.tiobe.com/tiobe-index/ Sounds like waffle, your post. No offence intended.

R is a tool with lots of useful packages, C++ is a programming language. They serve different purposes.

Why not ask your IT department??

I am not an employer but my feeling is if you know this modern stuff it proves you are flexible which employers like.. Especially new startups, maybe. Good luck! I assume you have a supervisor whom you can chat with for some topics as well.

aka intuition, nothing wrong with that. Of course, knowing how to solve problems beforehand is better.

I feel for all the students who have to learn this stuff. I had at least 3 courses as undergraduate related to measure and it was super abstract. What SDE books need IMO is more applications and numerics on top of the theory.

I have found Green's function to be not so useful. On the one hand it is PDE theory (existence of a solution) and on the other hand it produces a solution as an integral. It is limited to simpler problems. Still. it gives great insights into PDEs. The book by Stakgold (1998) is worth a read...

Like Johnny von Neumann said, maths is about learning the symbols. My way is ODE -> bit of ODE numerics -> PDE theory -> Black Scholes -> BS numerics ->(optional) small BS project in C++ or Python. Ready to go. Trajectory takes 2-3 months for student entering MFE/MSc. Euler, Gauss, Lagrange...

Off tangent, but I feel like this forum over emphasizes PDEs. I got into the fin econ program at Columbia which goes through their PhD curriculum, MIT, and UChicago + got interviews at some other places and I’ve never taken a PDE course. PDE knowledge is taken from other backgrounds. An econ...

I never took PDE in undergrad and got a C+ in ODE, but I was an applied maths major, I can kind of understand that pure maths don't do PDE (and at the same time not) but for applied maths PDE theory + numerical PDE would be essential. Maybe I'm missing something.

You're welcome. On www.datasim.nl (BLOGS) there are 3 recent and super-modern theses to be found.

Are the results 'interpretible'? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3829947 Something auditors and regulators like.

Some are on the sites of several US universities. Which is a sort of accreditation I suppose. And students learn a lot. Student discount also.

I offer most maths courses https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials

The beginning of wisdom for a programmer is to recognize the difference between getting his program to work and getting it right. A program which does not work is undoubtedly wrong; but a program which does work is not necessarily right. It may still be wrong because it is hard to understand; or...

At first glance, this looks good and practical. Possibly a bit more direct coding with your own template code does no harm. One question relates to how hands-on it is 1) understand the concepts, 2) program them in C++. For 2), the C++ courses have lots of exercises and brilliant support from the...

Are you shifting the goalposts?? Now it's Python v C++? From a business manager perspective, is Rust future-proof? In August 2020, Mozilla laid off 250 of its 1,000 employees worldwide as part of a corporate restructuring caused by the long-term impact of the COVID-19 pandemic.[43][44] Among...

A bit like the videotape format war. https://en.wikipedia.org/wiki/Videotape_format_war The main determining factor between Betamax and VHS was the cost of the recorders and recording time. Betamax is, in theory, a superior recording format over VHS due to resolution (250 lines vs. 240...

Penny-wise, pound foolish. It's strange that if a motivated working quant (who already works with production C++ libraries, say) wants to improve C++ skills, more time than not they have to pay out of their own pocket.

Dissertation and Miniprojects - These were very time consuming - you need to do all of these during Trinity term. That's around 60-80 pages of stuff you are required to write in 8 weeks or so. On the other hand, these projects were a good way to reinforce material learned in the first two...

C++ Programming Courses - You learn the basics and then learn how to use and extend the lecturer's own library. This is inadequate preparation for quant interviews and actual quant work. You will need to study some Comp. Sci (e.g. sorting algorithms) yourself. Baruch has resolved this problem...

Good question. I have been doing design in C++ since the 90s. You might find some useful background here. https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/ I am probably the only one on the planet who writes C++ books for finance. I prefer...

“An expert is a person who has made all the mistakes that can be made in a very narrow field.” ― Niels Bohr

Well, Barbara Streisand likes NYC

My ODE/PDE course is recommended by several universities. www.datasim.nl

It's what I've been saying since 1989!! That's when I started Datasim centred around C++, OOP and applications. Justifiably known as one of the most difficult coding languages to master, I know the way C++ feels And all of the hearts that it steals C++ tells me it's easy When you do it right

At university we learned the axioms of Natural Numbers -> Integers -> Rationals -> Dedekind cuts -> Real numbers step-by-step (e.,g. each natural number has a successor). It was like learning Theology. Before the IEEE 754 era. Now I can use these numbers in my sleep. // Now, here is maths...

well, good to see that at least 1 math joke exists, but it is not unique.

Well, we don't know until you try. It's like throwing a judoka into an MMA ring. Most pure maths is not constructivist https://en.wikipedia.org/wiki/Constructivism_(philosophy_of_mathematics) My favourite is Q: what is 2 + 3? A: the same as 3 + 2 Q: why?(?) A: because addition is commutative.

I had a look at the syllabus, good content https://www.maths.cam.ac.uk/postgrad/part-iii/part-iii-guide-courses It leans more to theory than applied. Just saying. Do you learn Navier-Stokes PDE?

It depends. Maths is not a magic elixir. I did all that pure maths stuff, but much of it is not so useful for finance. Being good at X means you are good at X. Analogy; a judoka is a useless karateka and vice versa.

The aim of part iii is to prepare for maths research. This is not exactly what is needed in finance. If you do pure maths, you miss out on {numerical, applied, computational} maths. Just sayin' And you have to be good at programming.

What about Luxembourg?

https://www.efinancialcareers.com/news/2021/03/c-jobs-banks Even where systems have been built in Python, a core of code is often built in C++. This is the case, for example, for JPMorgan's Athena pricing engine, and explains why the bank is currently looking for a C++ engineer for its core...

Answer: because not enough US citizens are! It's a more general trend that started in the 80s in Europe and I suppose USA. Many European graduates wanted to become managers. Countries like China, Morocco, France and etc. love maths. It's like decline of the West in a sense, Germany seems to...

Normally I have 64 bit across the boards. My Rule is Let;s say Boost has a new version 1.75. Use is after about [6,9] months. Use stable 1.72. When 1.80 comes along, then use 1.75. No time to be a beta/acceptance tester for Boost.

working 9-5 in production and blue sky research in the evening doesn't work, in general.

It doesn't work like that.

"Dr. TopQuantWannabe" it's timeless.

"A PhD is more of a character test than intelligence test" Dr. Sinead Kane (visually impaired ultramarathon athlete, double PhD doctorate, and double Guinness World Record holder, Dr Sinead Kane.).

Don't be lazy, be clever https://docs.scipy.org/doc/scipy/reference/generated/scipy.integrate.solve_bvp.html I reckon the Jacobian is taken care of in the solver? (default, J is done for you by fd). God luck; let us know how you get on. y'' + k * exp(y) = 0 y(0) = y(1) = 0 for k = 1.

you are doing sumpin' wrong.. You have to tell him WHERE to find lib (additional directories under Linker). If you have used Boost before .. or go back to 1.72 unless 1.75 is really necessary ;) check project 64 bit with you x32.,lb

On a follow-on remark (looking in the crystal balls), mainstream ML is grounded in linear algebra due to its (chance?) influences in the 80s in the seminal paper by Rumelhart, Hniton and Williams (at least that's the way it seems to me). Then everyone latched onto gradient descent? Linear...

This question can be broken down into several use cases. 1. Learning the syntax of linear algebra and its relationship to matrix theory. Gotta get used to symbols, notation and jargon ASAP. 2. Some numerical linear algebra. 3. Stuff like gradient, Jacobian, Hessian 4. Some background on...

Some MFE do ask for pdes. ode w/o pde is possible but why not do pdes, especially when it is for Black Scholes?

This is weird. Still doesn't answer my question. BTW if your pet goes back into the wild then it is not an instance of Pet? Here's a waccky example from the mid 90s. class ICE {}; class CUBE {}; class IceCube: ICE, CUBE { };

The code uses rand() .. meh Will rand() ever be deprecated? - C++ Forum rand() is not recommended for serious random-number generation needs, like cryptography. It is recommended to use C++11's random number generation facilities to replace rand(). (since C++11)

Don't get me started!. e.g. any one who writes a Pet class is for me a warning they have not used C++ in any kind of real app. Coding style is 90s as well.

This is awful code. class Pet .. that's a joke. The kind of stuff OOP did in the early 90s. In QN we can create classes for PDE, Monte Carlo etc.. And your TA is the 1-in-a-million Avi.

Who is "Anand"? I had a look at the courses' outline 'bullets'. The topics look standard if not somewhat outdated (90s feel) and missing stuff. 1. any samples of code? 2. testimonials?

There's no comparison between any C++ course and QN C++. At least I don't know of any. a guess: a semester of C++ at uni is about [20, 40]% of QN C++. To give a course in C++ you have to be an expert on C++, You can't do it on the side, like a weekend hobby.

And complete metric spaces. Cauchy sequences. And more Constructive Analysis ... prove existence and uniqueness of a solution by actually constructing it. Good example is Banach's fixed point theorem in metric spaces .. it can even be done in C++...

Mathematics is for ever. An example: I studied and researched in Functional Analysis and Hilbert spaces almost 50 years ago, now it is a new wave in Machine Learning.

LOL. You are projecting. No skin of my nose. If you have more time than money then you can scavenge internet ad infinitum to find online C++ stuff and it won't cost a penny.

yes and no. More important in my opinion is to understand the symbols an to applications. It should not descend into dry theorem proving alone. Metric spaces are a small part. See my hands on + exercises approach here. And is geared to finance...

Some of my issues with Gradient Descent @Cuchullain, for me, Gradient Descent is a swiss-knife methods. Always produce results, but can be stuck in local minima. Local minima, if it is lucky, That's the least of your worries. GD has a whole lot of issues: Off the top of my head 0. Inside GD...

It's from the swinging sixties :) We are now in the roaring twenties!

And Easter eggs.

https://c8.alamy.com/comp/CFF672/the-mary-quant-shop-in-duke-of-york-square-chelsea-CFF672.jpg

Caveat maintaining legacy code can be challenging. “A Big Ball of Mud is a haphazardly structured, sprawling, sloppy, duct-tape-and-baling-wire, spaghetti-code jungle. These systems show unmistakable signs of unregulated growth, and repeated, expedient repair. Information is shared promiscuously...

I have all the code ready. I just need to do the videos. Sorry for the slipped schedule (had a new pde/fdm deadline..) So, soon 2-3 weeks I reckon Here is video #1 for kick off https://www.datasim.nl/blogs/30/videos

welcome on QN

RKHS methods for ML Video, Jean-Marc Mercier and Daniel Duffy

"The mind is willing but the body is weak" ?? One hit wonder?

Algebraic geometry seems to have acquired the reputation of being esoteric, exclusive, and very abstract, with adherents who are secretly plotting to take over all the rest of mathematics. In one respect this last point is accurate. David Mumford

A number are on the MFE web sites that recommend them, in particular ODE/PDE and Numericals. And they are more in-depth than anything I've seen (and students say so too). And I am the originator of both QN/Baruch C++ courses.

https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials

Some background on this talk Hilbert Space Kernel Methods for Machine Learning: Background and Foundations Daniel J. Duffy, dduffy@datasim.nl Jean-Marc Mercier, jean-marc.mercier@mpg-partners.com Datasim Education BV www.datasim.nl MPG-Partners Abstract Daniel will, in the...

Talk by Jean-Marc Mercier and Daniel J. Duffy on Hilbert Space methods for Machine Learning https://quspeakerseries24.splashthat.com/

I'm not sure if this is the right question.

I was referring to persuading pure mathematicians to show more inferest in mathematical physics! Academics tend to live in silos in the sense that they focus on very narrow subject areas. As I mentioned, this is not my area. And I don't see many real applications. And I have so many other...

Too late. It ended with Poincare. It's like trying to teach judo to a boxer.

My Topology prof was a PhD student of Hodge. Now, homotopy is useful in solving nonlinear systems of equation F(X) = 0 by embedding it in a larger H(x,t) = 0 and managed to use it later in industry.

I have them on my bookshelf. The topics are pretty dull. Where is this stuff used?

Your words, not mine. Those topics I did by the end of my 2nd year and most was 1st year stuff for us. And then I did 2 more years of more advanced topics. For the record in years 3 and 4 I did functional analysis, several complex variables, numerical analysis X 2, statistics, Topology of...

Another remark: after 4 years of undergrad you should be ready to embark on baby research instead of yet 1 1/2 years of cramming other's work. It's like a straightjacket.

In the case of bbw, I think he is way behind the curve. A little knowledge is a dangerous thing. Around 1900 mathematics fractured into pure maths and physics and both were damaged. I have the books by Wallace and Fulton on Algebraic Topology .. lots of pictures and flow diagrams but little...

It's the way ye tell it. Have you studied the PDE works of Lagrange, Laplace, Euler, Hamilton, Navier-Stokes, Poincare? PDE doesn't mean what you think it means.

Are we entering a 'no true Scotsman' discussion? In fairness, they are paid to do PDEs, not homeomorphisms.

I Purest of pure maths. My son is drummer in a metal band; the base guitarist + composer is doing a PhD in algebraic topology. As soon as I mention PDE etc. he freezes. Two mathematicians separated by a common language.. The two other guys are CS, so there is some rapport :devil:

In any case, I would lean C++, ideally at QN. C++ is great in combination with maths. Maybe your MFE school will do it come the time? BTW here is hard-core Numerical Analysis sub-topics https://en.wikipedia.org/wiki/Category:Numerical_analysis

In very general terms, most students tend to be good at/like pure math XOR applied/numerical maths. A bit one-sided and somewhat myopic.I had the luck of doing all 3 (as well as theoretical physics) as undergrads and we hardly ever used the words pure/applied in the context that they are used...

The best way to learn proper programming is QN C++ course. It's got 30 years of industrial (not uni) OOP and software know-how built into it.

This is a cookbook on how to use certain Python libraries. yes? Personally. I use the reference manual. Actually, many Python books are like this: 50% output data (just look at page 352-353 of McKinney, unused space), 30% plots, 15% methods and function summary, 0.1% maths, 0% software design...

In software, the ISO 9126 quality issues https://en.wikipedia.org/wiki/ISO/IEC_9126 And is your s/w a 1. throwaway prototype proof of concept 2. 1-man production systems 3. what's your budget and experience? And a million other questions. In general, my guess is pipeline (pipes and filters).

A PhD is a kind of degree you do because you _really_ want to do it. If that spark is missing then life is more difficult. https://jcs.biologists.org/content/121/11/1771 Getting the right answers is not the same as asking the right questions. They are separate skillsets.

And courses are 1. Half don't do homework. 2. Always 1 guy who's out to ruin things. But a nice way to meet people. I learned basic Dutch in the beginning by listening to songs and watching TV commercials.

It's context-sensitive and it depends on what the requirements are. There are different levels, An extreme case is you _think_ in your 2nd language and not in your mother tongue. I knew a Russian maths prof who after 6 months gave lectures in Dutch on "Generalised Functions and PDEs". Not bad...

Does no harm. If you are good in languages these classes will bore you. Join a (sports) club, mingle and get to know people.

Call it what you want, In some European countries you won't be taken seriously if you don't speak he language reasonably correctly.

So, where to learn German?

It's an example of linguistic ability, the test is does the student understand grammar in all its forms. People learning foreign languages tend not to get beyond present tense. "I don't smoke, but if I do smoke, I smoke Marlboro"

Are the lectures in Germany through English?

On the topic of learning languages nowadays. People don't have the discipline/patience to learn them properly. Everything is in the present tense. So a phrase like "I don't smoke, but if I were to smoke, I would smoke Marlboro' is a bridge too far. In the old days school kinds learned Latin...

I doubt it. At least in NL the locals won't give you a chance. Solution is to marry a Dutch woman!

2 years to learn German _and_ French? Do you speak any other Indo-Europen languages?

Traditional measure theory is not constructive. https://plato.stanford.edu/entries/mathematics-constructive/

SQLite in Python would be good for hands-on https://realpython.com/python-sql-libraries/ And supplement with a book like "SQL for Dummies" (no offence :)) Take a mini case with 3 tables e.g. a stripped version of Northwind DB...

pump and dump 2.0?

And C++. And good Guinness.

You can do push up or pull up yourself at home, or you can pay $120/month for a good gym, or even you can spend $200 more for a dedicated personal trainer. I love it! How long does it take to learn linker error on your own...

I have worked with the University of Birmingham as external MSc supervisor since 2014. Director Dr. Coilin Rowat 3 theses here https://www.datasim.nl/blogs

Of course, they had 500 years to perfect he wristwatch!

Great; it's like having a Nokia 3310. at the end of the day, gotta go for Japanese reliability.

Your mathematics looks superb, Paris! Can you program in C++ and hands-on with the above topics? Did you do finite difference (FDM), or mostly FEM?

What watch does Young Sheldon wear?

My main concern -in general- is that gluing libraries together is not the same as programming, a term BTW that I don't often hear. And the blind spot (what they don't learn in CS school) is writing code with flexibility and maintainability in mind

Casio "No Worries" G-Shock.

The CS book is very advanced and not all that relevant to MFE. Great if you want to be a systems/HPC developers. Hands-on programming is more important. 'Computer organizatiion' is scary title, feel llke a solution for a problem.

yes, you will not regret it.

"Fluent" could mean anything. Can you program? For C++ it means being able to write programs, from scratch if need be.

I Before software goes into production, you need a prototype to show its feasibility. We are getting to the stage whereby the unfounded hype has died down a bit (e.g. NL 10,000 times faster than trad PDE.. ridiculous and irresponsible claims). Example: Rough Heston ML is [7,17] times slower...

Is 55K brutto or netto salary? How does that work out _living_ in Amsterdam with all the high prices etc.? I don't live in Amsterdam anymore but rent/house prices have sky-rocketed. Have you considered a career switch, i.e. do something completely different? e.g. Zorg, docent. If you are good...

Can you order a coffee in Python.

We teach the software engineering skills needed on the job through intensive mentoring at the beginning as well as code reviews. Fair enough.

I would say C++ is still the gold standard.

'condescended' Curious choice of words.

Just have a look at the Physics and Maths graduates from Pisa. + some Nobels for you. AND five POPES, wow! https://en.wikipedia.org/wiki/University_of_Pisa#Alumni I studied at Pavia for a while in the 70s and they had a top Numerical Analysis department. Among 'top quants' Italians are up...

Why not do both numerical and stochastic analysis. Otherwise 1/2 ready hitting the ground. Stochastics is starved of good numerical methods. Few articles, books get beyond Euler's method...

Duhamel's principle is for finding the solution of PDEs. Different stew altogether. https://en.wikipedia.org/wiki/Duhamel%27s_principle I looked Duhamel theorem in Widder. Seems like the limit of a Stieltjes integral with special case Bliss. I couid find no other source. Is is not subsumed...

I don't know Bliss but Duhamel's principle/integral is for the solution of inhomogeneous PDEs? If yes, then I can give some feedback. I see there is also a Duhamel's theorem.

And you kept the Boost directory the same as well?

https://stackoverflow.com/questions/53527330/how-can-i-create-a-cmake-file-from-existing-visual-studio-cpp-project

I'm guessing a bit but maybe this? https://docs.microsoft.com/en-us/cpp/build/customize-cmake-settings?view=msvc-160

Worst case scenario .. you might have to create projects from scratch. However, maybe not? Do you have many projects? Guess CMake on VS2019??

Same hare; I haven't been there for a while. And expensive after-ski bars in that area :) TBH it started to become a bit show-offy .. who uses cool C++?

this site is not available in "most European countries" when I click it Unfortunately, our website is currently unavailable in most European countries. We are engaged on the issue and committed to looking at options that support our full range of digital offerings to the EU market. We...

Bobby Fischer was a super star. He beat the Soviet Machine on his own. I lived in NYC when he played Spasski. It was on TV 1/2 the day, the other 1/2 was Nixon's Watergate gig. Riveting.

Hahah! If I have to believe my professors, we are 'just ' behind Harvard xD! It's a start. BTW happy anniversary 179 years THD/TUD. Just a guess but they want C++, traders. PhD? Can you program in C++? an idea is the C++ Meetup in A'dam etc. organised by Ray Burgemeester. Finance people attend.

Some ML/finance projects at MSc level using Python, Python libraries and C++ You could try something similar, say Black Scholes 101 to learn the process. Much better than baboon derriere recognition. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019...

How can someone not like ODE/PDE is beyond me. Next ?? you don't like C++ and Python.

Correlation is not causation. He is a mathematician,

Stupid question why not a career in cybersecurity? is it not a hot topic?

Most (?) PhD quants tend to be maths or physics. They are comfortable with all kinds of models. And C++ is still blue chip I reckon. In general, CS students tend to learn discrete maths/combinatorics and almost no hard analysis?(?) as a quant you need to know stochastics. PDE etc.

At the risk of blatant marketing, I offer an online ODE/PDE with application to finannce.

Delft is #10 in the world??!! No way. We Amsterdammers have a saying "Delft is world famous in Delft". Don't take offence. LOL. And the ranking is not a concern here. C++ is a good start (almost essential) + more maths. And looking forward, it might depend on whether you want to work in say...

Means a series of working prototypes. “An expert is a person who has made all the mistakes that can be made in a very narrow field.” ― Niels Bohr

BTW a nice initial project could be using Joshi's C++03 approach, get it working and then porting to C++11. https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/

What's your company called?

Rudin is rigorous, in fairness. The only thing it is missing is lots of concrete examples. And use George Polya's tips and tricks. Academia has had 70 years to achieve a next gen Rudin book on analysis. It's hardly rocket science at this stage. “The heart of mathematics consists of concrete...

You're welcome. Regarding design patterns, I have used them since 1994 in application an 1000s of students QL uses them a lot. There are 23 patterns .. about 5 do the business.

A little knowledge is a dangerous thing. Of Will Hunting is Hollywood, i.e. fantasy. Good luck.

Depends what you want to learn. The best way to learn C++ is QN C++ course. // OO Design patterns is OK but somewhat outdated in the C++11/C++17 era. Mark's book is 90s C++. TBD traditional OOP has seen its best days. But what do I know. I would install Quantlib and get Luigi's book...

425a is a non-starter?

You should learn C++ before even 'simple' products.

Start at the beginning i.e. learn C++.

better go off and Learn Quantlib and my C++ books.

"basic knowledge of Object-Oriented Programming in C++ and design patterns." Not a good start.

Is this a (student) project? Or production? SOLID is neither necessary nor sufficient. Is it pro-bono or commercial? This is not an easy task and it will take time. And SPENDING MONEY and PRECIOUS TIME.

425a is using Baby Rudin, and I'm not a keen fan of the book. It came out almost 70 years ago and should be in a nursing home for the elderly. Yes, we know, What's your remedy?

https://www.datasim.nl/onlinecourses/103/distance-learning-pure-mathematics-foundations https://www.datasim.nl/testimonials

ODE, PDE and numerical methods? And C++

425a 408 471 467 459

yes, pls contact dduffy@datasim.nl

https://www.datasim.nl/onlinecourses Discount for students.

My guess would be knowing computational fluid dynamics and Fortran would make an impression.

Maybe brush up on Italian history and culture “You know what the fellow said – in Italy, for thirty years under the Borgias, they had warfare, terror, murder and bloodshed, but they produced Michelangelo, Leonardo da Vinci and the Renaissance. In Switzerland, they had brotherly love, they had...

QN C++ and Python!

Whole families have moved to Florida ;)

Maths + CS has no expiration date.

I suppose it's a fixed number of tricks to learn and practice. In the 60s school kids had 'mental arithmetic' classses. typical example: divide x^3 - 4x^2 - 11x + 30 by x+3 in your head. what about a mental abacus? https://en.wikipedia.org/wiki/Mental_abacus

Sounds mind-numbing and demoralising.

Some universities require ODE/PDE https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

And Luigi Ballabio (the inventor of QL) https://pbs.twimg.com/profile_images/1289933908520439810/ZP13FU8y.jpg has a book on QL

yes, all of those. They will be integrated into the Advance C++. In fact, some new features in C++17/20 course are in Boost (so, essentially replace boost namespace by std). Plan is in 2nd week of January 2021 up and running.

Useful test,

1.cpp is not a good name in the first place. https://docs.microsoft.com/en-us/cpp/windows/walkthrough-creating-a-standard-cpp-program-cpp?view=msvc-160

Analysis of COVID-19 Mathematical and Soware Models: Or How NOT to Set Up a Soware Project https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10890 (already published as a preprint; thanks to Paul Wilmott and the team.)

Quantnet C++ course, for sure. Depending on pure maths, it may or may not be useful initially. ODE/PDE and numerical analysis. And Python (QN has a course). Lots of hands-on stuff. I think CQF is more useful maybe when you already have a job? edit what's the PhD topic called?