• C++ Programming for Financial Engineering
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    Python for Finance with Intro to Data Science
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Search results

  1. Daniel Duffy

    advice is needed for physics -> quant transition.

    You can easily learn SDE if you know ODE/PDE and good real analysis and a wee bit of Measure Theory (inflated importance).
  2. Daniel Duffy

    Recession is coming...

    Correlation is nor causation.
  3. Daniel Duffy

    Msc Mathematical Finance University of Birmingahm

    I have been external MSc supervisor at the University of Birmingahm since 2014 (~50 theses to date). My own focus is students with good grounding in finance, maths and C++. I am hands-on coach. It takes 3 months to get my students in top form :) In particular, the combination Maths/C++ is...
  4. Daniel Duffy

    C++ Online Programming Cert Testimonials

    "practice, practice, and practice". Yep.
  5. Daniel Duffy

    Putting Course Experience on Resume

    You're welcome. Not sure what the best pace is, maybe certificates? A lot of people here post it on LinkedIn as well. @APalley @Andy Nguyen
  6. Daniel Duffy

    Putting Course Experience on Resume

    QN C++ if applicable. This proves that you have a good level!
  7. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    OpenMP is certainly good for the concepts but is getting a bit long in the tooth (VS only supports v 2.0). C++ 11 has thread and tasks/futures. Just saying. And a C++ developer who is afraid of pointer sounds a bit odd. Design Patterns == GOF https://en.wikipedia.org/wiki/Software_design_pattern
  8. Daniel Duffy

    C++ Online Certificate Students' intro thread

    I have sent you an invitation :) Tung Dang
  9. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    Tips: improving performance in VS2019 https://docs.microsoft.com/en-us/visualstudio/ide/visual-studio-performance-tips-and-tricks?view=vs-2019
  10. Daniel Duffy

    The changing face of New York

    18 years ago., not it was 4 months ago and it exposed a white lie. You obviously don't know what went on. A rally with 400,00 bikers is crazy, 200K people have died in USA. Next you'll be saying is it only a virus and only old people contract it. But it has been politicised, how did it get that...
  11. Daniel Duffy

    The changing face of New York

    @ApolloChariot I don't do straw man arguments as you seem to be inferring. As early as March 2002 I analysed the much-touted COVID-19 software from Neil Ferguson which was used by UK and US governments. It is discussed in excruciating detail...
  12. Daniel Duffy

    The changing face of New York

    What a great memory you have! 1918. I find the above reasoning in your post is quite logically fallacious, a bit like the No True Scotsman. It's what is not being said needs to be addressed.
  13. Daniel Duffy

    The changing face of New York

    Me condescending, never!! More like shoot-from-the-hip. Anyways, nice try.. If you really want to be constuctive you could review that article instead of attacking me. If this is how far you are, then there is little hope. Denial is not a river in Egypt.
  14. Daniel Duffy

    The changing face of New York

    HEALTH AND SCIENCE Fauci says a coronavirus vaccine is ‘unlikely’ by U.S. election https://www.cnbc.com/2020/09/08/coronavirus-vaccine-dr-fauci-says-its-unlikely-it-will-be-ready-by-us-election.html He called the coronavirus outbreak in the U.S. a “mixed bag” as new cases fall in the southern...
  15. Daniel Duffy

    How to prepare for a quant job after doing a Ph.D. in physics (Quantum Information) ?

    While programming in MATLAB, Python and C++ can be more of an art Not exactly. The scientific approach is to learn C++ as it is the basis for everything And program like crazy. In my undergrad, I have done basic programming algorithms like sorting, printing patterns, data structure. However...
  16. Daniel Duffy

    The changing face of New York

    So, which part is not 'fact' http://ftp.iza.org/dp13670.pdf Not a reason to say that large groupings _don't_ help spread COVID-19. Denial is not a river in Egypt.
  17. Daniel Duffy

    What are the best programming certificates for QF (besides those offered on QuantNet)?

    There's no better C++ online course(s) than Quantnet/Baruch. At least, I haven't found one.
  18. Daniel Duffy

    The changing face of New York

    I was only quoting a fact. I do dispute that piece on NYP; the logic is somewhat flawed.
  19. Daniel Duffy

    The changing face of New York

    Really??? What about the second wave? And this? South Dakota 'super-spreader' biker rally could be linked to 250,000 coronavirus cases More than 400,000 people are thought to have attended this year's Sturgis Motorcycle Rally over the course of 10 days
  20. Daniel Duffy

    Do you guys not want to make money?

    Sounds like good value.
  21. Daniel Duffy

    Do you guys not want to make money?

    Of course, but when I ask you to loan me a fiver until next week (I'm expecting a check from Australia) you go all quiet.
  22. Daniel Duffy

    Poker probability

    Just don't lose your shirt.
  23. Daniel Duffy

    What books are you currently reading?

    "Calling Bullsh*t" by Bergstrom and West Highly recommended. "Algebraic Topology" by Fulton
  24. Daniel Duffy

    The changing face of New York

    Do you mean Jackie Onassis?
  25. Daniel Duffy

    The changing face of New York

    I was working as a student in NYC in summer of 1972 (Watergate, Fischer vs Spassky) . One of my most pleasant memories was the AIR_CONDITIONED New York Library where I could prepare for exams. The city was badly run down (Central Station looked awful and Times Square was seedy), but thanks to...
  26. Daniel Duffy

    What should I add to Applied Math?

    What are the topics in Applied Maths?
  27. Daniel Duffy

    EXCLUSIVE: Get $250 OFF for Python course

    'Responsibilities' are kind of on the job stuff, while "Requirements' corresponds to mathematical and financial skills. Job ads sometimes mention product knowledge (e.g. Visual Basic 6.0) which do not have a long shelf life. The trick is to learn future-proof generic skills.
  28. Daniel Duffy

    EXCLUSIVE: Get $250 OFF for Python course

    C++ -> Python -> Advan C++ can be a good choice as well. depending on your goals. I find 'switching' between the two languages useful. Actually, the functional paradigm (tuple, variadic params, higher-order functions, decorators) in Python could be a great step-up to Adv C++11.
  29. Daniel Duffy

    The changing face of New York

    That's very debatable, especially if you are used to European cuisine. Certainly, the most expensive restaurants in the world.
  30. Daniel Duffy

    C++ Advice

    QN C++ is based on many years or teaching in industry and academia, not to mention actually writing applications. Read the lectures few times and then jump into the all_so_important exercises.
  31. Daniel Duffy

    Taking a 'Data Structure' course from CS department worth?

    Data structures are language-independent. 20 years ago there no libraries. Things have moved on. A full course on data structures is not what would do in 2020. It is an STL module in Baruch Adv C++ coiurse.
  32. Daniel Duffy

    Free Webinar: Daniel Duffy: Some Perspectives on Computational Finance and ML

    Here's the full video https://thalesians.com/videos/
  33. Daniel Duffy

    How to spend a gap year productively?

    Another great choice! QN/Baruch C++ It is a life skill.
  34. Daniel Duffy

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

    I have just coined a new term: (Programming) Language Silo In many cases, developers and quants' monolog interiors seem to be driven by their fascination/obsession with a single programming language (Sapir-Whorf again). This is caused by idiosyncratic views 1) efficiency, 2) elegance, 3)...
  35. Daniel Duffy

    How to spend a gap year productively?

    candidate c: "I was caretaker on Blasket Island" and I studied, ODE,PDE, SDE, FDM, ML and AI. https://www.irishexaminer.com/news/arid-30976640.html
  36. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    How many hours 'real' coding as percentage of the other activities?
  37. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    This may not be to everyone's taste. Whatever works for you. Thee are many ways to learn.
  38. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Quantnet/Baruch is unique: the dedication of TAs.
  39. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Anyone can write a book. That's the easy part. 60% of my time in a book/courses is exercises A-Z. Don't just read it; fight it! Ask your own question, look for your own examples, discover your own proofs. Is the hypothesis necessary? Is the converse true? What happens in the classical...
  40. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Question: 1 hour a day but for how many days :-)
  41. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    What are the prerequisites? I reckon it is useful after you have learned the compiler and a bit of C.
  42. Daniel Duffy

    Free Webinar: Daniel Duffy: Some Perspectives on Computational Finance and ML

    Here is the slide show corresponding to my talk tomorrow
  43. Daniel Duffy

    What classes should I take as an undergrad?

    Real and Functional Analysis are core skills.
  44. Daniel Duffy

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

    Rumour has it that Python is also written in C.
  45. Daniel Duffy

    Projects in C++

    I have a number of projects that might be useful. What's the goals etc.?
  46. Daniel Duffy

    How important are higher level math courses?

    Ah, OK. Over here in Europe we call it 'Algebra'. My school teacher was PhD and I Iearned group theory at 17. It does not have may applications in finance AFAIK.
  47. Daniel Duffy

    How important are higher level math courses?

    The maths you mention here cannot be learned alone.
  48. Daniel Duffy

    COMPARE CMU in New York vs UCB

    Olympiad == learning tricks?
  49. Daniel Duffy

    How important are higher level math courses?

    See my courses where all these topics are worked out. https://www.datasim.nl/onlinecourses What's 'abstract algebra'??
  50. Daniel Duffy

    Free Webinar: Daniel Duffy: Some Perspectives on Computational Finance and ML

    https://www.meetup.com/thalesians/events/272215702/
  51. Daniel Duffy

    Undergrad major selection

    Very impressive list of programming languages. I used Prolog in 1987 when the world thought it was the future. At the time the West was scared of the Japanese 5th Gen that was fueled by Python .. a paper tiger. https://en.wikipedia.org/wiki/Fifth_generation_computer
  52. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    Anonymous message Professor Duffy, just one question do you any chance offer possibility of buying some book concerning Python with code as for Financial Instrument Pricing. I am in desperate need of professional python code [..] @APalley @Andy Nguyen
  53. Daniel Duffy

    Undergrad major selection

    Out of interest, which programming language do you use/learn/apply during your CS education?
  54. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    This is 100% correct. After all these years Computer Science still does not understand that software development is more of an engineering+ design discipline. Anyone can write a program that prints '42'. And unfortunately, the situation is exacerbated in ML. The real risk in the future is...
  55. Daniel Duffy

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

    That's the correct answer. The original question is incorrect.
  56. Daniel Duffy

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

    An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.
  57. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.
  58. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    Traditionally, "linear algebra" tends to be taught in academia without dealing with "numerical" part. A better name is Vector (or Linear) spaces. To this stuff into a computer we have "Numerical Linear Algebra" and has algorithms for a wide range of problems and applications all over the place...
  59. Daniel Duffy

    Advanced Calculus or Numerical Linear Algebra

    PDEs 'use' calculus. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  60. Daniel Duffy

    Any great quant paper resource?

    Premature optimisation?
  61. Daniel Duffy

    Any great quant paper resource?

    It takes years before you become any good at writing. Or any good at anything for that matter. And you need to know your readers. And take concrete examples that readers can check and generalise. Quite simple. actually. The source of all great mathematics is the special case, the concrete...
  62. Daniel Duffy

    Moving From Finance to Quant

    Congratulations!
  63. Daniel Duffy

    Complexity theory/complex systems in quant finance

    I don't doubt that a lot of work is being done in this area. But my guess is it's not (yet) mainstream business.
  64. Daniel Duffy

    Complexity theory/complex systems in quant finance

    I would say it's more in the CS academic sphere, in general. Complexity is (was?) about searching and sorting in data structures. Financial is more about maths + algorithms with data structures as side-kick.
  65. Daniel Duffy

    C++ Primer vs C++ Primer plus

    I would round that number to 100% :cool:
  66. Daniel Duffy

    C++ Primer vs C++ Primer plus

    The heart of mathematics (and C++, red.) consists of concrete examples and concrete problems. Big general theories are usually afterthoughts based on small but profound insights; the insights themselves come from concrete special cases.” — Paul Halmos
  67. Daniel Duffy

    C++ Primer vs C++ Primer plus

    The books are a bit too CS and generic for my taste. Lots of syntax, very little design. No offence, but it's like reading the telephone book. Just my personal opinion. The best way to learn C++ is to write code, brick-by-brick. And the less copy-and-paste, the better. My videos have 80% of what...
  68. Daniel Duffy

    C++ Primer vs C++ Primer plus

    In a sense, the best background is your brain + motivation. 90% is self-contained (I think), listen hard to the videos and do the exercises will bring you a long way. And the very helpful TAs!
  69. Daniel Duffy

    Review

    A follow-on remark is that everything is built on C++, Fortran and COBOL. All (?) the Python libraries are C++ and Fortran wrappers.
  70. Daniel Duffy

    Review

    Of course! C++ will be here at your retirement age (in the future == 85). Life-long learning! Who knows, may C++ will support Quantum Computing by then. https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0208073
  71. Daniel Duffy

    What programming skills do I need to learn to become a quant?

    You're welcome! Knowing C++ means you have a great headstart :)
  72. Daniel Duffy

    What programming skills do I need to learn to become a quant?

    There are lots! Here are two theses I supervised last year. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance Initially, you first need to walk (learn the design process on a generic/non nitty-gritty cases) before running (actually applying design...
  73. Daniel Duffy

    Will the course teach good software principles that are often neglected by Python users?

    Is that the same as 'data structure', likes dict, set, matrices, HDF5?
  74. Daniel Duffy

    Will the course teach good software principles that are often neglected by Python users?

    Will the course teach good software principles that are often neglected by Python users? 1. Not so much neglect, more like no one out there (yet) to tell them how. I have several Python books but most are anaemic at the design level IMHO. 2. Universities have their strengths for sure, but in...
  75. Daniel Duffy

    What programming skills do I need to learn to become a quant?

    Oops, sorry, I missed that. One of the ways I could think of now is to start learning to backtest a strategy from quant reports. I would say that the next skills are to independently design and implement a program from scratch based on some requirements document? This is not a skill that you...
  76. Daniel Duffy

    What programming skills do I need to learn to become a quant?

    I recommend Quantnet C++ and then you start being able to think about the next level, i.e. design. Design != coding.
  77. Daniel Duffy

    C++ Online Certificate Students' intro thread

    In bocca al lupo! Forza.
  78. Daniel Duffy

    Is there enough time for me to take this course?

    C module 1 is like Ogham until syntax becomes clear. Having got the syntax under your belt the rests is learning C++ concepts.
  79. Daniel Duffy

    Over-rated China

    How many students know the chain rule, let's say transforming from (x,t) to (z, tau) z = z(x,t) = x/s(t) tau = t Now transform heat equation u_t = u_xx for 0 < x < s(t) to a PDE in z and tau for 0 < z < 1. // 95% get it wrong first time. Hint; use the chain rule and z is a function of TWO...
  80. Daniel Duffy

    Undergrad major selection

    Historically, the ex-Cold War quants tended to be physicists. Physics uses a lot of mathematical symbols (and a bit of PDE/FDM)l to be sure but that's not the same as mathematical insights and methodology. TBH, I'm not sure how useful it is in the ML/Data era..
  81. Daniel Duffy

    Still worth it to learn C?

    The big jump from {Java, Python, Matlab, <whatever>} to C++ immersion is huge. Do some C first. Believe me, otherwise 2 steps forward and 1 step backwards. Someone on QN once wrote that they learned more from QN C++ than 4-year CS degree programme. Saw this random observation... If you do not...
  82. Daniel Duffy

    Still worth it to learn C?

    Looking back, I am very glad that the QN C++ course has 2 modules on C (you really learn what a compiler is). Of course, there's a lot of deprecated C code not to use but 1. you learn necessary structure 2. get close to the hardware. 3. C++ _is_ a better C Jumping into C++ w/o C foundations...
  83. Daniel Duffy

    Still worth it to learn C?

    Linus Torvalds shudda taken the Quantnet/Baruch C++ courses.
  84. Daniel Duffy

    Online courses on Optimization

    A standalone option is a good idea, in combination with Python as well. Then it is A-Z.
  85. Daniel Duffy

    best memoirs/autobiographies by female quants?

    BTW, Colin, Welcome to Quantnet!
  86. Daniel Duffy

    Online courses on Optimization

    I do Optimisaton as part of a numerics course https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods and its implemntation in Python https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries It is as an...
  87. Daniel Duffy

    best memoirs/autobiographies by female quants?

    There are many good female quants but are you looking for those in the 'limelight' as it were? The ambiguity here is there is no agreed definition of what "quant". Each has her own internal model. On thing is sure: quant these days is all about progarmming. And Quantnet/Baruch has an impressive...
  88. Daniel Duffy

    best memoirs/autobiographies by female quants?

    I suppose the first female "quant" was Ada Lovelace.
  89. Daniel Duffy

    If most quants are looking for math/CS majors, what is the point of these MFE/MSF/MSQF programs?

    There was a time when people in industry could do both maths and programming (the word 'code' means nothing). Writing reliable software is a skill that takes years to learn.
  90. Daniel Duffy

    If most quants are looking for math/CS majors, what is the point of these MFE/MSF/MSQF programs?

    I find the term 'code monkey' to be offensive. What do they call you?
  91. Daniel Duffy

    If most quants are looking for math/CS majors, what is the point of these MFE/MSF/MSQF programs?

    Computer Science doesn't have enough hard maths contents. This is not news. And numerical analysis is more useful than applied maths (whatever that means..) here. What do I know.
  92. Daniel Duffy

    If most quants are looking for math/CS majors, what is the point of these MFE/MSF/MSQF programs?

    You should tell those recruiters to have a look at the Quantnet/Baruch C++ courses.
  93. Daniel Duffy

    C++ Online Programming Cert Testimonials

    Well done! "if you can make it on QN C++ you can make it anywhere"!
  94. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Good luck! Enjoy the course.
  95. Daniel Duffy

    Non-Profit Startup

    You could make it into a charity!
  96. Daniel Duffy

    Non-Profit Startup

    1- Coders PHP developers good enough? BTW the modern word is programmer or developer. I would need 3-4 Quantnet/Baruch C++ developers. They would have it done before lunch.
  97. Daniel Duffy

    Analysis of Covid-19 Mathematical and Software Models Or how NOT to set up a software project

    This report undertakes a critical examination of the by now well-discussed open-source software based on an epidemiological model from a team from Imperial College London led by Dr. Neil Ferguson. I've been pontificating about good software project management for years but this high-profile...
  98. Daniel Duffy

    Non-Profit Startup

    First, get rid of the lawyer. Second, read this report https://quantnet.com/threads/analysis-of-covid-19-mathematical-and-software-models-or-how-not-to-set-up-a-software-project.44438/ 3. Project leader to keep group 1 from spinning out of control 🤕
  99. Daniel Duffy

    Analysis of Covid-19 Mathematical and Software Models Or how NOT to set up a software project

    That's 2 questions, one for ODEs, one for SDEs. I'm referring to ODEs (doesn't let Euler-Maruyama off the hook), Well-known issues, lots of them. Euler is no good for stiff ODEs, for example. Anyways, Euler is the least of their worries.
  100. Daniel Duffy

    Analysis of Covid-19 Mathematical and Software Models Or how NOT to set up a software project

    https://www.datasim.nl/blogs/27/analysis-of-covid-19-mathematical-and-software-models I've been pontificating about good software project management for years but this high-profile adventure exposes all the warts and all. The chickens have come home to roost.
  101. Daniel Duffy

    WorldQuant University

    There's a very good C++ course on Quantnet :-)
  102. Daniel Duffy

    C++ Online Certificate Students' intro thread

    No problem! Lots of questions welcome :-)
  103. Daniel Duffy

    How desirable are those with MS in Physics for developer roles?

    Theoretical physics or experimental physics? How's your maths?
  104. Daniel Duffy

    What books are you currently reading?

    G. M. Weinberg 1998 The Psychology of Computer Programming, Dorset House.
  105. Daniel Duffy

    How do one measure programming proficiency?

    You learn programming by programming. For C++ the Quantnet is the most mature and thorough. Write a robust and maintainable program.
  106. Daniel Duffy

    Advanced Calculus

    I would say sections B, C, D, E correspond subsume calculus https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf Calculus is not analysis; the latter teaches differentiability while the former just 'does it'. Calculus == HOW Analysis == WHEN,WHY,WHAT...
  107. Daniel Duffy

    Advanced Calculus

    It depends on the target/reader group. I work backwards to the books that satisfy the needs. I still don't know the precise definition of "Advanced Calculus"..
  108. Daniel Duffy

    Quant vs Data Science

    Nothing wrong with plumbing, that's life., It's ignorance of the underlying maths is dangerous.
  109. Daniel Duffy

    C++ Design Patterns and Derivatives Pricing VS Financial instrument pricing using C++

    You mean, the Joshi book or my book (2018 2nd edition is the most uptodate C=+11). The former is outdated. And traditional design patterns have been given a facelift in my courses. https://www.datasim.nl/application/files/5615/3778/5054/Chapter1Watermark.pdf The best way to learn C++11 etc...
  110. Daniel Duffy

    Advanced Calculus

    On a related issue when someone says "I know linear algebra and calculus", it could mean almost anything.
  111. Daniel Duffy

    Advanced Calculus

    From AMS Classification, 'calculus' on its own is ambiguous, so many 'calculusses' to choose from. https://mathscinet.ams.org/msc/msc2010.html?t=&s=calculus&btn=Search&ls=s
  112. Daniel Duffy

    Advanced Calculus

    Maybe 'calculus' is a common name in USA. In Europe calculus is what we learn(ed() at school. More accurate names imo are math methods (calculus on steroids, working things out like Stokes stuff) and real/complex analysis (epsilon/delta, hard core stuf). There again, I haven't looked in 47...
  113. Daniel Duffy

    Which option models are used in the industry?

    Nice. Thanks. It sounds that these are flexible software layers?
  114. Daniel Duffy

    Which option models are used in the industry?

    Will you tell Dan_BR-UK what *is* useful? I think you are not telling the full story.
  115. Daniel Duffy

    Purpose of QuantNet C++ Course?

    The key of the C++ course is to learn C++ for finance. The goals are C++ Programming for Financial Engineering | QuantNet Community...
  116. Daniel Duffy

    Which option models are used in the industry?

    I think the N:M:R:T question is too big to answer. "Paul Wilmott on Quantitative Finance" Vols 1 to 3 is a good place to start. Maybe start with 1 factor BS and take it from there.
  117. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Think of it as a 10,000 m race, not a sprint. Begin with the end in mind and work backwards to now.
  118. Daniel Duffy

    Is studying VBA worth it?

    Great! It would be nice. I don't get out so much these days.
  119. Daniel Duffy

    Is studying VBA worth it?

    I don't of any. Since you know C++, a VBA course is too simple for you, so plan B book on VBA syntax Jackson and Staunton on VBA for finance (Wiley) A site with VBA code for quants http://www.axelvogt.de/axalom/ and Haug's book...
  120. Daniel Duffy

    Would love some guidance.

    Since you ask. here is what I offer (rigorous, practical and hands-on) https://www.datasim.nl/onlinecourses BTW I am also the originator of the Quantnet C++ course.
  121. Daniel Duffy

    Would love some guidance.

    General topology, stochastic analysis, mathematical finance primarily stuff about Levy processes, lots of PDE including advanced stuff like sobolev spaces and somewhat beyond, lots of measure theory, lots of functional analysis including advanced stuff like C*-algebras. All this in Two years...
  122. Daniel Duffy

    Becoming a quant

    Congratulations. C++ is such a great skill to have.
  123. Daniel Duffy

    How many videos?

    Should be fine. Many students have never even programmed before. The course contents/style has been influenced by the mathematical/engineering-style background of the course's originator.
  124. Daniel Duffy

    Guidance for programming related to Financial Engineering

    Linear algebra, ODE/PDE, algorithms, data structures ,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,+ real analysis.
  125. Daniel Duffy

    Guidance for programming related to Financial Engineering

    C++ is the best foundation for many reasons. e.g. knowing C++ means learning Python, C#, Java is a piece of cake. Knowledge of Python doesn't really help if you wish to learn C++. The best way to learn C++ is to learn C++.
  126. Daniel Duffy

    Need Advise Non-Traditional Candidate per say

    You're welcome :) It was good advice and I advise many people. It was not meany to cause offence (or offense in the States), per se. In my day we had no Grammarly and our teachers were very strict
  127. Daniel Duffy

    Need Advise Non-Traditional Candidate per say

    Small remark it's 'per se' https://en.wiktionary.org/wiki/per_se and use 'advice' (it is a noun, you used a verb).
  128. Daniel Duffy

    New Graduate (Tough spot)

    I prefer Jigoro Kano's advice.
  129. Daniel Duffy

    Do I have a chance at UCB?

    ODE/PDE/FDM are popular.
  130. Daniel Duffy

    Python Questions

    Using modules and packages for program deccomposition. The "Pythonic way" should not be a straightjacket/Procrustean bed. I think a Pytonic++ way deserves attention. These style guidelines transcend a given programming language. A single style is not useful for all application domains...
  131. Daniel Duffy

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

    From "Python in a Nutshell" "Sometimes, however, you need a deep copy .... fortunately, this need is rare, since a deep copy can take a lot of memory and time." I don't agree 1. Many applications need deep-fried-copied object 2. Deep copy can be more thread-safe than shallow copy. (replicated...
  132. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    Here is a quote with which I disagree completely. It is very, very bad: "I hate anything that asks me to design on the spot. That's asking to demonstrate a skill rarely required on the job in a high-stress environment, where it is difficult for a candidate to accurately prove their abilities. I...
  133. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    C++ From Meyers' Wiki entry Most of the QN/Baruch C++ alumni can design on the spot. Practice, practice, practice. The devil is in the detail.
  134. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    It's the analogy is the point. What I am saying if you software like CAD/CAM then many software ills will be avoided. The penny hasn't dropped.
  135. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    Here's a thought: Compare how (the process) mechanical engineers design and manufacture physical products with how software products are made. create. Big difference. For one, lack of design blueprints. If you build a house, do you first buy a bag of bricks?
  136. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    Factories and other patterns are directly supported in Boost. I've stopped using Singleton pattern 20 years ago. Factory Method pattern is OK but limited to toy examples. I can see an implicit, conceptual link between the two. The Gang of Four 1994 book tells the precise mapping, as does...
  137. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    I also have the 'Effective Modern C++' book on C++11/14 by the same author, which I guess will present the best 'design patterns', and in what specific situations it is useful to take advantage of these improvements in the language. What's your definition of a design pattern? Meyer's approach...
  138. Daniel Duffy

    C++ Online Programming Cert Testimonials

    Well, I have an eye for those kinds of things? You could do a change control request to Admin :cool: In the 60s they used numbers a lot
  139. Daniel Duffy

    C++ Online Programming Cert Testimonials

    Thank you zhb[5] It's made my day!
  140. Daniel Duffy

    Quant vs Data Science

    machine learning engineer Fancy name. Are ML plumbers needed (serious question)?
  141. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    From a pedagogical viewpoint, a scoped and self-contained test case 101, A-Z would add value for the community IMO.
  142. Daniel Duffy

    Python Questions

    How is it possible to write well-designed and maintainable Python code? What's your favourite method?
  143. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    The authors assume background in measure theoretic probability This excludes > 90% of readers! To have a have a background in measure theoretic probability the necessary foundation are real analysis measure theory / Lebesgue integration Some Functional Analysis, really The beginner should...
  144. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    Linear algebra is needed in so far that it is (only) a supporting mechanism for approximation and optimisation algorithms. Most problems here are nonlinear and are solved as iterations of linear problems (enter linear algebra!). What is missing IMHO in general is more precision on . function...
  145. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    Since this is a finance site, the real interesting thing for people here IMHO is how to do it for finance, really. To mamy examples now on character and baboon derriere recognition :) I'm biased but this is how I feel ML work should be written up...
  146. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    I find Geron's book just OK. And boring. It reads like a cook book pressing the right buttons for TensoFlow and Sklearn. On a follow on, most of the O'Reilly books IMO are 90% tables, screen shots and plots and 10% maths/insights. Each to his own; what do I know. The constructive message is...
  147. Daniel Duffy

    Differential Machine Learning : novel ML algorithms with unreasonable effectiveness for pricing and risk approximations in finance

    Antoine. I reckon a lot of people here are interested in ML. The question is how they might get started.
  148. Daniel Duffy

    C++ Online Certificate Students' intro thread

    C# is in some ways similar to C++. But C++ demands you manage memory yourself.
  149. Daniel Duffy

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

    Here's a bunch of useful C++ examples from Boost. Caveat: I haven't done much after the posts but you may find it useful nonetheless. http://www.datasimfinancial.com/forum/viewtopic.php?f=22&t=111
  150. Daniel Duffy

    Math needed

    What I see a lot is linear algebra as pure maths which is essential, indeed. The other side of the coin is Numerical Linear Algebra which is more common in daily work. (Same holds with ODEs .. it not enough to know just the analytics; Python odeint and Boost odeint are needed,) Many (almost all...
  151. Daniel Duffy

    Math needed

    Here is online courses originated and mentored by me . It will probably give some idea of useful topics. https://www.datasim.nl/onlinecourses
  152. Daniel Duffy

    We Need Your Help

    It's a bit vanilla. It does not really say anything about what it is.
  153. Daniel Duffy

    We Need Your Help

    Everybody is a student lifelong, so it's not all bad. 1. Certified C++ developer (you learn a skill and how to write decent code) 2. First kyu (brown belt/judo/karate/ju-jutsu). (next black belt). (The judo belt analogy is very accurate; you can 'map' each course level to a given colour).
  154. Daniel Duffy

    C++ Online Certificate Students' intro thread

    I am an anesthetist. Wow! Have fun with C++.
  155. Daniel Duffy

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

    Alright then, I downloaded the revamped Imperial Covid C code, built the project and got it running in console mode (it uses GDI which I haven't used since 1992 ... it is deprecated big time and is impossible to find GDI drivers), I will write up a precise and detailed report in the coming days...
  156. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    Alright then, I downloaded the revamped Imperial Covid C code, built the project and got it running in console mode (it uses GDI which I haven't used since 1992 ... it is deprecated big time and is impossible to find GDI drivers), I will write up a precise and detailed report in the coming days...
  157. Daniel Duffy

    Purpose of QuantNet C++ Course?

    C++ is a skill which will be of enormous benefit for years to come.
  158. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    https://www.businessinsider.nl/trumps-coronavirus-team-relies-on-stupid-model-by-controversial-economist-2020-5?international=true&r=US "Lies, damned lies and cubic spline interpolation". I agree with pingu. Baddest model ever. They never bootstrapped the 30-year forward rates curve.
  159. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    You should read a bit more, especially what software developers say. Don't be fooled by cute reports. The wording 'derivative' is a misnomer (a better word is 'clone'); it is an attempt to remove the bugs. It could be called a second version in C++ (12 years too late). The software is the...
  160. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    One exhibit from the report “Stochastic” is just a scientific-sounding word for “random”. That’s not a problem if the randomness is intentional pseudo-randomness, i.e. the randomness is derived from a starting “seed” which is iterated to produce the random numbers. Such randomness is often used...
  161. Daniel Duffy

    Compile Errors != Linker Errors, BTW why do I get Linker errors?

    How one Covid-19 Software model (Neil Ferguson/Imperial College) was developed. A damning report https://lockdownsceptics.org/code-review-of-fergusons-model/
  162. Daniel Duffy

    Doing the course while working/Studying

    You're welcome. Andy and Avi can give these details, but I believe it's 16 weeks and you can start anytime. @Andy Nguyen
  163. Daniel Duffy

    Doing the course while working/Studying

    Yes, go for it! C++ is a great skill to have.
  164. Daniel Duffy

    New Quantnet members say hi

    Matt, I have known the friendly people of QN and Baruch for almost 15 years now and I am the originator of the 2 C++ online courses here. So, I like to have a look to see how everyone is doin', say hello and hopefully be useful :)
  165. Daniel Duffy

    New Quantnet members say hi

    Welcome to Quantnet, Matt! I have taken the liberty to place a link to your MSc thesis here :) https://www.datasim.nl/application/files/5915/7045/5027/Matt_Robinson_Thesis_.pdf
  166. Daniel Duffy

    Getting a Quant job as a Programmer / Mathematician

    I have extensive knowledge in both mathematics and computing, Can you elaborate? These are very broad terms.
  167. Daniel Duffy

    How to invest another year ?

    Learning more hard (applied) maths does no harm I would say. And lots of hands-on doing maths. Advanced C++, is that the Baruch course you are referring to?
  168. Daniel Duffy

    Imperial College MathFin vs EPFL MFE

    WOW! So, an EU bank charges 9% and they can borrow at almost zero% interest from ECB? Something out of kilter, out of whack.
  169. Daniel Duffy

    Corona Virus discussion

    Go for it :) and you can make the nice graphs using my ExcelDriver :devil:
  170. Daniel Duffy

    Corona Virus discussion

    With your knowledge of C++ you could solve them using odeint https://www.boost.org/doc/libs/1_72_0/libs/numeric/odeint/doc/html/index.html (BTW most models are toys)
  171. Daniel Duffy

    Studying Analysis and taking Mathematics Notes

    More concrete examples worked out, less text needed in maths. The best way to do maths is to do lots and lots of concrete cases.
  172. Daniel Duffy

    Aerospace Engineer -> Quant (MSFE, MS, something else?)

    I can't say which education is best but my guess is you wouldn't have any problems given your background.
  173. Daniel Duffy

    Aerospace Engineer -> Quant (MSFE, MS, something else?)

    Aerospace Engineering is a good background to have from what I have experienced. Certainly the maths part. Matlab is fine but maybe look out for Python and C++.
  174. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    I don't know, but I reckon so. You can do version 1 on mac using Python. speed is for later.
  175. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    You can use simulated/synthetic data (i.e. analytic solution) as training data for the ANN (3-layers?) FDM == finite difference method FEM = finite element (more advanced)
  176. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    Here'a a possible, doable project: take the problem as in McGhee's article, make it more clear (better 'flow') and use the approach taken by Dalvir Mantara in the thesis I posted. For training data, use Heston exact and then maybe move to FDM/FEM. BTW Dalvir's thesis is extremely well-written...
  177. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    Sorry, don't know Fama-French model. 2.5 months is not much time.
  178. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    Yes, especially at MSc level and limited time resources you want to take an incremental approach. Like life, we must walk before we can run. So, some time to learn ML before applying it to finance. aka how to scope your thesis and a project estimation. I always ask student to write up a 1/2 A4...
  179. Daniel Duffy

    Master Programs Europe

    12. University of Birmingham UK, course director is Dr. Colin Rowat (to explain: I have been an external MSc supervisor there since 2014).
  180. Daniel Duffy

    Getting a quant role with bsc in economics and msc in finance and accounting

    Your background may be too diffuse, as you say yourself. For economics stuff, more hard mathematics/analytic thinking in maths is probably _very_ necessary. As regards programming, R is easy to learn but C++ is a real skill. Python is a useful side-kick.
  181. Daniel Duffy

    MSc Thesis: Random forest long-term return prediction

    There's certainly no shortage of fancy buzz words in ML. The proposal is high-risk and there's no guarantee that useful results will be obtained. I could be wrong but a Plan B does no harm. For MSc I recommend benchmarking existing methods and integrating/improving them with ML. Avoid the...
  182. Daniel Duffy

    Self-learning and implementing numerical methods - VS 2019

    Step 1 is to understand the underlying maths.
  183. Daniel Duffy

    Matlab for Fin

    I've been to Iceland a few times; everyone there speaks English. Can't get a word in edgeways.
  184. Daniel Duffy

    Matlab for Fin

    Sanskrit is very useful for students of Indo-European languages. https://upload.wikimedia.org/wikipedia/commons/0/05/Indo-European_isoglosses.png I always wanted to learn Icelandic.
  185. Daniel Duffy

    Matlab for Fin

    Matlab is useful, but Python looks better. Maybe time for adviser/advisor to learn Python.
  186. Daniel Duffy

    SHOW ME THE CODE !

    If you run my code you get the correct answer :-) Maybe you are mixing your types?
  187. Daniel Duffy

    SHOW ME THE CODE !

    My C++ Boost code gives 262537412640768743.999999999999250072597198185688879353856337336990862707537410378210647910118607313 which is correct. This number was discovered in 1859 by the mathematician Charles Hermite.[7] In a 1975 April Fool article in Scientific American magazine,[8]...
  188. Daniel Duffy

    SHOW ME THE CODE !

    http://oeis.org/wiki/Ramanujan%27s_constant
  189. Daniel Duffy

    SHOW ME THE CODE !

    My conjecture is the value is 262537412640768743 + 1.
  190. Daniel Duffy

    SHOW ME THE CODE !

    Here's the multiprecision code #include <boost/multiprecision/cpp_dec_float.hpp> #include <boost/multiprecision/cpp_int.hpp> #include <boost/math/constants/constants.hpp> #include <typeinfo> using boost::multiprecision::cpp_dec_float_50; using boost::multiprecision::cpp_dec_float_100...
  191. Daniel Duffy

    SHOW ME THE CODE !

    Using Boost multiprecisin (BTW I used Archmedes' algorithm using harmonic and geometric means to compute to yuge accuracy). It looks like an integer indeed. I suspect normal double version can't handle it. https://en.wikipedia.org/wiki/Approximations_of_%CF%80 The code is in my C++ 2018 book...
  192. Daniel Duffy

    SHOW ME THE CODE !

    Or is it a real number whose fractional part is zero? BTW how can you compute that number? Serendipity. :-)
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