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  1. Daniel Duffy

    Text book which mirrors the course and lectures

    For advanced C++11 etc. see my "Financial Instrument Pricing using C++", 2nd edition (Wiley).
  2. Daniel Duffy

    Text book which mirrors the course and lectures

    The course is self-contained indeed. If you sure you understand the videos, quizzes and exercises, And cppreference.com
  3. Daniel Duffy

    Should I do a PhD at Cambridge?

    I never take statements at face value. Anyways, if you had been a bit more pro-active and less spoon-feeding see https://quantnet.com/threads/is-a-phd-worth-it.37652/
  4. Daniel Duffy

    Should I do a PhD at Cambridge?

    LOL What was the question(s) again?
  5. Daniel Duffy

    Should I do a PhD at Cambridge?

    Reading your post, have you not answered your own question??? A Dr. is a privilege, not an entitlement.. In finance IMHO you need to know maths and programming (C++, Python etc.). I don't see how telecoms helps. My rough guess is it's graph optimization algorithms?
  6. Daniel Duffy

    CRR Binomial Tree Convertible Bond pricing (MATLAB)

    Fair enough. But in a student project it's also important to do some original work as well. My MSc students locate the relevant finance paper and take it all the way to code themselves. I do not accept code that they have found on internet. A feature of copying from other articles, blogs and...
  7. Daniel Duffy

    CRR Binomial Tree Convertible Bond pricing (MATLAB)

    " relation between underpricing of bonds and short interest" In that case you probably mean a 2-factor model? In that case a PDE/FDM model is probably needed, especially if you have correlation, dividend-paying stock and free boundaries. It has been done.
  8. Daniel Duffy

    NYC Python Training

    Hi, @rohitkrohit sorry for the delay. Here is the new video etc. https://www.datasim.nl/blogs/25/demo-video-distance-learning-applied-numerical-methods-with-python-and-python-libraries https://www.datasim.nl/blogs/24/new-hands-on-online-course-python
  9. Daniel Duffy

    CRR Binomial Tree Convertible Bond pricing (MATLAB)

    No free lunch I suppose. There are several commercial products. Or build your own CB code. If you need more than free stuff it is necessary to allocate resources.. Out of curiosity, is it a student project?
  10. Daniel Duffy

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

    Some weekend thoughts ... I didn't always work on high-level languages like C++. Once upon a time I was a summer intern with GE in Ireland testing diodes and triodes (big ones!) using Basic on a noisy teletype machine connected to the computer in Scotland by a very long cable. Advantage of...
  11. Daniel Duffy

    Python Questions

    oops, wrong thread.
  12. Daniel Duffy

    CRR Binomial Tree Convertible Bond pricing (MATLAB)

    I supervised a number of CB MSc projects using both lattice and finite difference method (FDM). The latter is more flexible _by far_ (BTW CRR is not very good... ziggy zaggy). I'm not a CB practitioner, so I am not familiar with the latest nuances. The last state of art I know is...
  13. Daniel Duffy

    CRR Binomial Tree Convertible Bond pricing (MATLAB)

    And the binomial method is not the most modern method around.
  14. Daniel Duffy

    NYC Python Training

    @rohitkrohit I have created a demo video for the course that we are putting on the web site. Hope we can get it up and running in a day or so.
  15. Daniel Duffy

    NYC Python Training

    There is a bit of a discussion here as well https://www.linkedin.com/pulse/distance-learning-applied-numerical-methods-python-libraries-duffy/...
  16. Daniel Duffy

    NYC Python Training

    I was just thinking about that very idea yesterday! I will create a demo video early next week. The style of this course is similar to that of my other courses. BTW the course starts 1 October 2019. The style will be similar to these videos https://quantnet.com/media/categories/level-1-videos.2/
  17. Daniel Duffy

    NYC Python Training

    This? https://www.datasim.nl/blogs/24/new-hands-on-online-course
  18. Daniel Duffy

    which is more useful in the real world? Python or C++...

    Interesting (and kind of scary). Green or red...
  19. Daniel Duffy

    which is more useful in the real world? Python or C++...

    If history is anything to go on, at some stage we will encounter the same software maintenance problems with ML applications as with 99.99% of legacy code. The root cause is not the choice of language but the fact that these applications are created by non-programmers who are in all probability...
  20. Daniel Duffy

    Is my profile good enough for UCB MFE Round 3 ?

    I offer these online courses (student discount). https://www.datasim.nl/onlinecourses PDEs/FDM are important when you need performance but it is possible to go through life as a quant without using them. And UCB assumes you have a good knowledge of them. https://www.datasim.nl/testmomials
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