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  1. Daniel Duffy

    Corporate serfs and tax donkeys

    You don't say.
  2. Daniel Duffy

    Corporate serfs and tax donkeys

    You mean, like these Illinois lads?
  3. Daniel Duffy

    Too late to switch focus to FE?

    What kinds of specific roles did you have in those 17 years? Are you a decent programmer? How's the maths savvy? And .. what's the interest in finance?
  4. Daniel Duffy

    Profile Evaluation: Data Scientist with 6 years experience to Quant

    I (external) supervised quite a few MSc theses there until recently. Some very good students. See 2019 2020 Blogs on www.datasim.nl for several theses. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019...
  5. Daniel Duffy

    Profile Evaluation: Data Scientist with 6 years experience to Quant

    Have you looked at University of Birmingham?
  6. Daniel Duffy

    GRE General or GRE Math

    Maths is not about doing exams and jumping through hoops. Maths is about learning and doing stuff.
  7. Daniel Duffy

    Is BSc Economics ok to become a quant?

    And good programming skills (C++, Python,..)
  8. Daniel Duffy

    Is BSc Economics ok to become a quant?

    fairly good undergraduate in economics contains enough math depends
  9. Daniel Duffy

    Is BSc Economics ok to become a quant?

    To be a "quant" a decent knowledge of maths and programming is needed. The "maths" in Economics is probably not enough.
  10. Daniel Duffy

    Where to go for undergraduate studies?

    Princeton has a good reputation.
  11. Daniel Duffy

    SHOW ME THE CODE !

    Yes, I'm in the lap of luxury. Maybe Boost Process (heavyweights tasks)? https://www.boost.org/doc/libs/1_76_0/doc/html/process.html
  12. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Like judo = std::list<technique> technique == get it work -> get it right -> get it optimised
  13. Daniel Duffy

    SHOW ME THE CODE !

    Newbie question.. https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10647 absolutely in C++11. threads, tasks and futures. Discussed in my C++ 2018 book and QN Advanced C++ course. Recommend doing some research. // Just got an 8-core machine today. What can I in heaven's name use it for...
  14. Daniel Duffy

    C++ Online Certificate Students' intro thread

    I'm sure you will learn a lot here. Actually, I taught C++ to WBS finance students in 2019/early 2020. Good luck. // R (and Matlab!) is too simplistic for maths people. It is more of a tool for MBA. C++ and maths are a more natural mix.
  15. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Welcome. BTW did you have any exposure to C++ at Warwick?
  16. Daniel Duffy

    Bocconi new Bsc for a quant career

    6th word, 1st sentence?
  17. Daniel Duffy

    From Formula One to Quant positions.. How?

    You want to live life in the fast lane, what?
  18. Daniel Duffy

    Project ideas for a Computational Finance course

    You could start by basing the course on my numerous books in this area. www.datasim.nl BTW my PDE book will soon be published. I have lots of project suggestions. To date, I have been external supervisor for roughly 40 MSc thesis for UK/US universities...
  19. Daniel Duffy

    Transitioning into Quant Role from Academia

    "Quant role" is a wide concept.
  20. Daniel Duffy

    Confusing about the "hedge" term

    https://en.wikipedia.org/wiki/Hedge_(finance)
  21. Daniel Duffy

    Online Mathematics Modules

    Given that I live in the UK (London) and the educational system is far behind the US one In what sense?
  22. Daniel Duffy

    Online Mathematics Modules

    I have originated the following (BTW I also originated Quantnet C++ courses). They are online, hands on and exams/certificate. There are focused on finance and have more depth and breadth than university offerings I give student prices. https://www.datasim.nl/onlinecourses...
  23. Daniel Duffy

    A good keyboard for office use.

    I used this for Basic in GE in a special room; it was deafening
  24. Daniel Duffy

    A good keyboard for office use.

    I use UNICOMP model M classic. It's great. I got from a quant... his colleagues found it too noisy, the keyboard, not the quant.. https://www.theverge.com/22369731/unicomp-mechanical-keyboard-new-model-m-review-price
  25. Daniel Duffy

    ML Question

    OLS can tolerate observation errors in y only but not in x. If x has observation errors, then we need ODR https://en.wikipedia.org/wiki/Deming_regression#Orthogonal_regression https://docs.scipy.org/doc/scipy/reference/odr.html
  26. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    here is the slide show of my talk next Wednesday. https://www.datasim.nl/application/files/1416/2964/2727/PDE_and_FDM_in_Computational_Finance_25_August_2021OFFICIAL.pdf
  27. Daniel Duffy

    After first C++ certificate, Python or Advanced C++?

    If I were in such a position in my career. I would do both C++ and Python are a good combination. It is an investment in your future career. If you make the time and have a few quid to spare it is what I would do.
  28. Daniel Duffy

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

    Small remark on new(?) C++ behaviour. Interesting to see how legacy code reacts. Seems that the C++ compiler reacts differently these days to template protected data t; if you want to directly access t in derived class you must use this->t (BTW for concrete types you can get away with just...
  29. Daniel Duffy

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

    float x = 0.1; x -= 0.1; double y = 0.1; y -= 0.1; std::cout << "x, y: " << x << "," << y << '\n';
  30. Daniel Duffy

    ML Question

    Nope https://en.wikipedia.org/wiki/Ordinary_least_squares https://en.wikipedia.org/wiki/Gradient_descent
  31. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    And the right way to do OOP inheritance, no silly classes for cats and dog, woof(), miaow()
  32. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    Unfortunately, self-taught or university style is sub-optimal in this case. In my case, I was the first C++ programmer in the Netherlands in 1989.
  33. Daniel Duffy

    Advanced C++ and Modern Design Cert Testimonials

    My rough guess is at least 8 hours per week is necessary. I am the originator so my estimate does not include the upper limit (in theory 24/7 :)). decent C+ background This could mean anything, big spread. Most institutes I've seen are far behind the QN C++ course (which is based on 30 years...
  34. Daniel Duffy

    Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

    25 August 2021 https://www.linkedin.com/events/6833423790865715200/ Thalesians Partial Differential Equations (PDEs) and Finite Difference Method (FDM) for Computational Finance Daniel J. Duffy, Datasim In this talk we give an overview of the numerical solution of PDEs using finite...
  35. Daniel Duffy

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

    C++ Nostalgia. In the old days there was no string class. Here's how we did it. You can run the "1992" code. // // dynstr.hxx // // This class creates and manipulates variable length character strings. // // (C) Copyright Datasim BV 1992-1995 // // The information contained in this file is...
  36. Daniel Duffy

    Financial Instrument Pricing Using C++

    You are welcome. These 2 books together discuss it all PDE and FDM. BTW for 2018 C++ book, email me for source code when purchased.
  37. Daniel Duffy

    Financial Instrument Pricing Using C++

    The Quantnet C++ course is good preparation indeed. You won't have too many problems. Good luck! BTW you might like to know that my new PDE book will be published in a few months.
  38. Daniel Duffy

    Why Vasicek on discrete lattice is a bad model for pricing American option on credit prepayment?

    I have not tried it myself because in general PDE/Finite different models are much better. Having said that, lattice methods for American equity options are good. Is it not a barrier option?? I was told that Vasicek on a tree is a terrible choice of model implementation and that one should...
  39. Daniel Duffy

    C++ Multithreading in Boost

    Thank you. I wrote that article 10 years ago. The nice thing now is that threads (and tasks!) are supported in C++11 and porting code is more or less changing namespace boost to std.
  40. Daniel Duffy

    Theoretical Calculus worth the time?

    When students say "calculus" a question could be to explain (construction of) Riemann, Lebesque and {Riemann, Lebesgue} Stieltjes integration and compute them by hand on let's say the function f(x) = 4x(1-x) using pencil and paper. These are very concrete questions. Seeing how there are used...
  41. Daniel Duffy

    Free course: C++ 11 to 20, Comparing different function types: Function pointer, std::function, functor, lambda

    Unfortunately, it's the way you are saying it that gets me, It is incorrect and naive. But that's my experience and opinion. Try to tone it down a bit and be more factual. Anyhoo, no problem.
  42. Daniel Duffy

    Proof of fixed-point theorem

    here's another great tip for Quasar and everyone The source of all great mathematics is the special case, the concrete example. It is frequent in mathematics that every instance of a concept of seemingly great generality is in essence the same as a small and concrete special case. Paul Halmos...
  43. Daniel Duffy

    Former Enron CEO, back in business with new energy investment firm

    Many politicians are like that..
  44. Daniel Duffy

    Proof of fixed-point theorem

    It's funny, but I can't remember ever getting good ideas sitting behind a laptop. Usually, ideas come at random moments and places. Like Eureka?
  45. Daniel Duffy

    Russian programmers

    Your interpretation of my words. I am asking a simple question. I am not taking about outsourcing, more about software products. I looked up Yandex .. it's registered in Schiphol (Amsterdam) as an NV (anonymous company) as we call it in NL. Turnover in 2014 was quite modest. I wouldn't call it...
  46. Daniel Duffy

    Free course: C++ 11 to 20, Comparing different function types: Function pointer, std::function, functor, lambda

    @ptf You also wrote this, which is a bit strange According to some research billions of dollars are due to fact of memory leak in C/C++, which requires very high skill on the developers. When it comes to quantitative finance, same thing. No matter how many good students you teach, they make...
  47. Daniel Duffy

    Free course: C++ 11 to 20, Comparing different function types: Function pointer, std::function, functor, lambda

    Which C++20 (trendy) syntax are you using? Most is C++11. Just saying. Please post the code as an attachment so that the QN members can experiment with the code. Many are up to speed with C++11 and beyond (including myself ):ninja:
  48. Daniel Duffy

    Proof of fixed-point theorem

    “The first rule of discovery is to have brains and good luck. The second rule of discovery is to sit tight and wait till you get a bright idea.” George Pólya
  49. Daniel Duffy

    Proof of fixed-point theorem

    relevant example Compute implied volatility using . Newton . Banach . Aitken Compare .. These in my 2018 C++ book.
  50. Daniel Duffy

    Proof of fixed-point theorem

    Even for M = 1.0e+9 etc. it will be a challenge for methods that use derivatives. It is like a boundary/internal layer problem SHGO is a global optimiser that finds all roots. https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.shgo.html It's very easy to use. from...
  51. Daniel Duffy

    Proof of fixed-point theorem

    For example. and 1) several roots, 2) no roots are possible.
  52. Daniel Duffy

    Proof of fixed-point theorem

    Another way to solve fixed point x = g(x) is to solve it as a least-squares minimisation problem min (x - g(x))^2. And use favourite optimiser.
  53. Daniel Duffy

    Proof of fixed-point theorem

    Do you already know C++11? or even C++03?(?) BTW C++17 is only a stepping stone to C++20. TBH I don't think you are ready. It's like judo white>yellow->orange->green->blue->brown->black and you in C++ terms? You can do all these algos in C. Or Python.
  54. Daniel Duffy

    Proof of fixed-point theorem

    A nice feature of fixed point/contraction theorems is they converge for any initial guess in contrast to say Newton's method.
  55. Daniel Duffy

    Does anyone know of any good online partial differential equations course?

    https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations https://www.datasim.nl/testimonials And my new PDE/FDM book for finance will be out on a few months (Wiley) My course is accredited by at least one major university. This course is the only...
  56. Daniel Duffy

    Proof of fixed-point theorem

    and experimentally.
  57. Daniel Duffy

    Proof of fixed-point theorem

    Now, the icing on the cake: solve x^2 = 2 by fixed point theorem and measure (monotonic!) convergence. Linear. https://en.wikipedia.org/wiki/Aitken%27s_delta-squared_process
  58. Daniel Duffy

    Proof of fixed-point theorem

    https://en.wikipedia.org/wiki/Banach_fixed-point_theorem
  59. Daniel Duffy

    Why banks need C++ developers more than ever

    I have created a video on C++20 here (BTW I am the originator of these courses) Blogs - Videos :: Datasim If you are serious, C++ Concepts are a big deal. Watch this space.
  60. Daniel Duffy

    Why banks need C++ developers more than ever

    https://www.efinancialcareers.co.uk/news/2021/07/modern-c-finance-jobs?utm_source=GLOBAL__ALL_ENG&utm_medium=SM_LI&utm_campaign=ED_NEWS Python has become a necessary language to learn if you want a job in finance. However, while students everywhere are becoming minor Python coders, the fact...
  61. Daniel Duffy

    Testing c/c++ code

    These? https://www.bogotobogo.com/cplusplus/google_unit_test_gtest.php https://www.boost.org/doc/libs/1_75_0/libs/test/doc/html/index.html // I haven't used them as they are not in my job title at the moment :) But you probably need them in production environment. Certainly worth knowing a...
  62. Daniel Duffy

    Testing your installation of Excel for C++ course

    I forgot to say; Excel Driver only works with Visual C++. Not with dev-c++, for example.
  63. Daniel Duffy

    Testing your installation of Excel for C++ course

    I assume you tested it on the HelloWorld example?
  64. Daniel Duffy

    Testing your installation of Excel for C++ course

    Anyone using my driver on Excel 365? I/we get errors C:\Program Files\Microsoft Office\root\VFS\ProgramFilesCommonX86\Microsoft Shared\OFFICE16\MSO.DLL :128:4:error:stray '\374' in program C:\Program Files\Microsoft Office\root\VFS\ProgramFilesCommonX86\Microsoft Shared\OFFICE16\MSO.DLL...
  65. Daniel Duffy

    PhD vs Full Time Quant Researcher

    Cannot stress how many "Math whiz" PhDs with strong PDE skills we have not hired because they don't have a strong SWE background Sounds logical. This happens when pure maths pde (theory only) have not learned to program. So, it would not be a surprise to me. It takes [7,20] years to really...
  66. Daniel Duffy

    PhD vs Full Time Quant Researcher

    What's "SWE background"? What distinguishes "programmer" from "developer"? It may be an idiosyncratic and have several definitions on who you ask. I would say most quants of any flavour should be able to test their ideas (in a computer).
  67. Daniel Duffy

    Russian programmers

    In an academic context, the Association for Computing Machinery defines IT as "undergraduate degree programs that prepare students to meet the computer technology needs of business, government, healthcare, schools, and other kinds of organizations .... IT specialists assume responsibility for...
  68. Daniel Duffy

    Russian programmers

    Let me qualify. 'IT' is a term that emerged during the outsourcing bonanza of the 1990s. My bad. I should have known better not to use that word because it does not mean what many people think it means. Let me rephrase: how many software companies that originate, develop and market software...
  69. Daniel Duffy

    Russian programmers

    Can you name one Russian IT company? Historically a challenge is when software has to written to fit into 16 bit machines. And a soclal price was paid if they discovered you were a prodigy..
  70. Daniel Duffy

    How would not taking PDE/Stochastic Calculus in time diminish chance for admission to top MFE program?

    One way (and not a bad way) to learn maths is to reverse engineer an algorithm by programming it in C++ and work backwards to the original maths formulation. I do that all the time these days.
  71. Daniel Duffy

    How would not taking PDE/Stochastic Calculus in time diminish chance for admission to top MFE program?

    Not knowing both SDE and PDE could be a drawback. Still, most models are built around these pillars I reckon. Of course, the lack of can be compensated by other talents like programming ability, for example.
  72. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    and that's fine. It stops it seems at 1-factor diffusion?
  73. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    Thanks. I don't want to come across as arrogant but the MIT contents are 2nd (1st?) year freshman content. The heat equation is far too simple. A lot of quants go through life without understanding the subtleties of convection-diffusion-reaction PDEs. I do all this stuff as well but more for...
  74. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    VBA was very popular. I am not sure in anno 2021 if it is worth doing a course. Maybe better to learn Python these days.
  75. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    BTW I am also the originator of C++ Programming for Financial Engineering Advanced C++ and Modern Design // See "Financial Instrument Pricing using C++, 2nd edition" (Wiley) 2018 by Daniel J. Duffy
  76. Daniel Duffy

    Is this a good math/programming strategy for a prospective MFE applicant?

    Regarding ODE/PDE, I am the originator of this course (recognised by UCB) https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations It is probably the only one geared up to finance PDE (Black Scholes) and FDM. Student discount, contact me. As...
  77. Daniel Duffy

    Pre Read suggested for an Incoming Financial Engineer Candidate

    Maybe a maths course at a community college to get to a 6-7 before the next step? You can compare contents with my online maths courses here https://www.datasim.nl/onlinecourses QN C++ course does no harm at all.
  78. Daniel Duffy

    A one year preparation plan for non quants. (People who can't read mathematics texts through notations)

    “Young man, in mathematics you don't understand things. You just get used to them.” ― John von Neumann
  79. Daniel Duffy

    Pre Read suggested for an Incoming Financial Engineer Candidate

    Can you program in C/C++/Python? And I reckon some more training in maths is probably needed, depending on what "Mathematics" you did..
  80. Daniel Duffy

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

    C++23 (in the future) https://en.wikipedia.org/wiki/C%2B%2B23 I would say; no big new features, rather fixes and extra thingies added to C++20.
  81. Daniel Duffy

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

    Here's a very simple runnable example to show how Concepts work. // Test101Concepts.cpp // // Simplest example of a system. Context diagram consists only // of Input and Output systems. // // We use C++20 Concepts to replace policy-based design // // Composition // // V2: design using C++20...
  82. Daniel Duffy

    I love to research. What can I do?

    How do I know? I have a phd. Well done, matey. Dime a dozen. Freshly minted PhDs tend to have this arrogance. Industry experience will cure you of that soon enough :) BTW I have a PhD in Mathematics (PDE, FDM) (1980). here's some of my connections in academia and industry in EU, UK and USA...
  83. Daniel Duffy

    I love to research. What can I do?

    yes and no. Research is 1. to get a PhD 2. after PhD (then become administator, delegate research to your PostDoc team).
  84. Daniel Duffy

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

    ... SDE sde(myOption); SDEAbstract<SDE, double> sud(sde); https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10606 That article used C++11 functions to model stochastic differential equations (SDE) which resolves efficiency and maintenance problems of class hierarchies. Now that C++20...
  85. Daniel Duffy

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

    "Regarding C++98/03, I am glad to have learned it instead of the modern revisions." ...
  86. Daniel Duffy

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

    As I wrote in a previous message (we are going in circles), "The constant need of knowledge update and of learning new tools is the main reason of burnout in software development.". Not at all. It just feels like that at the moment. You'll find out in due course after you land your first job...
  87. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    That's for me to know and you to find out. Besides, it's all in the preface I posted here last Friday. Of course, you read it. You like supersonic conservation laws, so you do, what's special? Concorde V2?
  88. Daniel Duffy

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

    e.g. Compilers have always lagged behind language specifications, that's also a fact. If Visual Studio 16.10 supports C++20 now, it's an exception to this rule that does not make it less true. This is a remark that not even wrong. It's a variation of the True Scotsman Fallacy. In that message...
  89. Daniel Duffy

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

    I've finished _everything_. So it's a matter to get it into the forum. Very soon indeed. I would say I have done 80% at least of C++17/C++20. and C++20 will be at the end of the course, so you can start.
  90. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    1) You mean, 1 factor? this approach is limited. It's a 1-trick pony. Besides, it has an analytical solution, so why bother? 2) no, because they don't crop up in finance. Lax-Friedrichs is only for advection PDE and is not unconditionally stable. Lax-Wendroff is mentioned for Asian option PDE...
  91. Daniel Duffy

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

    Please try to investigate before posting half-truths. It just wastes so much time.
  92. Daniel Duffy

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

    It's called progress. Strange reply and incorrect. If you had followed the C++ committee down the years you would know why. C++11 and Boost C++ use this stuff .. it's called Template Metaprogramming. Those GOF patterns are 30 years old. I use them since 1992,. They were OK when C++ was a baby...
  93. Daniel Duffy

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

    C++20 is shipping; It supports Concepts and it will subsume traditional Design Patterns. For example, here is the Bridge pattern, it' the best way to do it. 42 This is coming on Advanced C++ course. // Interface contract specification template<typename T, typename Data> concept IDiffusion =...
  94. Daniel Duffy

    I love to research. What can I do?

    A bit touchy? I am giving my opinion/experiences. I have > 200 maths books in my library. And hundreds of articles dating from the 70s. And my own research notes. And I work everything out with pencil and paper before surfing, it at all. Sometimes I search, but it throws up existing sources...
  95. Daniel Duffy

    I love to research. What can I do?

    Surfing the Web is what you do in free time. Besides, 90% of the information is useless.
  96. Daniel Duffy

    I love to research. What can I do?

    Surfing the web, LOL.
  97. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    A short history of PDE methods as applied in finance: It is better to have 5 solutions to 1 problem that 1 solution for 5 problems (each problem has its own peculiarities and recipes may break down and then Plan B is needed). A big problem IMO is that the same old FDM models are being used on...
  98. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    There are 4-5 other ways to compute boundary conditions. It's all a bit subtler than a payoff, Chapter 23 of my new book. It was a flash in the pan : mprof was last seen in 2014...
  99. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    BS PDE does not have/need boundary condition, but the FDM does need numerical BC. The above reasoning is outdated and crude, I must say. Maybe ask your prof then. Or a PDE quant. Send him/her my TOC and preface. I am available 24/7 for feedback. Or ask a PDE quant to discover what the real...
  100. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    Au contraire; it's a 2021 PDE/FDM book! ' Did you miss the two Word files I posted here. Forget transforming to a heat equation, is not even wrong. It's a false sense of security. It's dumbing down. Anyway, linear two-factor PDEs are of convection-diffusion-reaction type with mixed derivative...
  101. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    Pde and finite differences are to be avoided for multi-asset products as the multidimensionality of the problem hits hard on computational efficiency PDE up to dimension 3 are doable. They weren't built for higher dimensions. It's a no-brainer to use MC in those cases. Some of the ML community...
  102. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    As for PDE, it's just a numerical physical exercise to get numerical value of a derivative given a model. You know what most of C++ developers can just copy and paste free source codes they found somewhere on the web and implement it and wah lah...they get the price of a derivative by the end of...
  103. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    You might be interested in knowing that a PDE/FDM book is on the way.
  104. Daniel Duffy

    PDEs or Stochastic Process? - Question from an Econ&Fin Undergraduate

    I would say it is better to learn both PDE and SDE methods. They are two sides of the same coin. I fact there is a 1:1 correspondence as Einstein showed in 1905, See also the book by Friedman. So, both are very handy...
  105. Daniel Duffy

    Reference Book on C++ Programming for FE

    I used Bruce Eckel's book way back. It might be an idea to check his more recent(?) books.
  106. Daniel Duffy

    Reference Book on C++ Programming for FE

    Most of the C++ writers have given up the chase or have sadly passed. A remark: learn C syntax before C++, if not it is NOT optimal not at all. typedef is very limited. The code on the site looks neatly laid out. A bit in the Quantlib style. I have Datasim Press with Boost C++ books. In this...
  107. Daniel Duffy

    Reference Book on C++ Programming for FE

    One more thing .. my books are reasonably priced and all the time and effort is from my own pocket .. I don't have crowdfunders not subsidies in that sense. I think academics should also give something back to the students. That's my opinion,.
  108. Daniel Duffy

    Reference Book on C++ Programming for FE

    I don't have the book. From the TOC I don't see much C++11 buzzwords. Just sayin'. BTW my basic C++ doesn't cover C++11, I have a different focus, having come from an industrial background where we focus on well-designed and maintainable applications. Each to his own, I suppose. The QN/Baruch...
  109. Daniel Duffy

    Reference Book on C++ Programming for FE

    And this book by Luigi Ballabio on Quantlib library has lots of finance. Someone who has done QN C++ will have no difficulty using this library. https://www.amazon.com/Implementing-QuantLib-Quantitative-finance-architecture/dp/B08KHSZK86
  110. Daniel Duffy

    Reference Book on C++ Programming for FE

    Here is C++20 preview which will be in QN/Baruch C++ update very soon. https://www.datasim.nl/application/files/6716/1131/6643/Global_Overview_Cplusplus17_and_Cplusplus20.mp4
  111. Daniel Duffy

    Reference Book on C++ Programming for FE

    I looked at TOC. Seems to be well-structured, pedagogically. It is probably pre-C++11 so it won't age well. Does author provide source code? Hefty price. I wold say the next generation C++ apps should be C++20.
  112. Daniel Duffy

    Reference Book on C++ Programming for FE

    The only modern C++ books for finance are the ones that I have written. If C++ is new to you I recommend QN C++ (I am the originator and APalley is TA). Can't go wrong. Best course on the planet:cool::ninja::coffee:
  113. Daniel Duffy

    Numerical methods vs Numerical Analysis

    methods versus analysis.
  114. Daniel Duffy

    PoliMi

    really? What about Paris VI, it's highly mathematical https://le-blog-finance.com/france/finance-le-master-el-karoui-forme-un-quant-sur-trois-en-france/ again, mathematical engineering as a term only exist in the politecno , no on else uses it AFAIK.
  115. Daniel Duffy

    PoliMi

    Have u searched on QN?? https://quantnet.com/threads/french-mfe-programs.6538/
  116. Daniel Duffy

    PoliMi

    hmmm There's probably not a university on the planet that doesn't offer such a course.. On my coffee break I found (caveat: I am not an expert in schools). 1. Best schools for Finance in Europe – QS Rankings 2021 London School of Economics and Political Science (LSE), the UK University of...
  117. Daniel Duffy

    PoliMi

    Difficult; The only one I know in this area I vaguely know is Bocconi. How did you arrive at this list in the fist place?
  118. Daniel Duffy

    PoliMi

    Bocconi (typo)
  119. Daniel Duffy

    Optimization algorithms - use cases in finance

    Indeed. In many cases the best way to understand a model is to work out all the steps by hand in simplest case with pencil and paper, e.g. 2X2 case. Then automate the process.
  120. Daniel Duffy

    Optimization algorithms - use cases in finance

    Anyone out there used Visicalc on Apple II https://en.wikipedia.org/wiki/VisiCalc It represented a revolution in personal computing. It was popular with e.g. cost engineers. "VisiCalc isn't as easy to use as prepackaged home accounting programs, because you're required to design both the...
  121. Daniel Duffy

    Politecnico di Milano

    That's probably not a goal. Compare it to _using_ a Pyton library, you don't need know the internals. Most plumbers have no idea what the Navier Stokes PDE is.
  122. Daniel Duffy

    Better college in Ireland

    Congratulations; your future is in your own hands.
  123. Daniel Duffy

    Optimization algorithms - use cases in finance

    The nice thing about Bronson is that it's got good examples that can be done with pencil and paper. Once that is done means the step to coding is easy and better than trial-and-error programming.
  124. Daniel Duffy

    Optimization algorithms - use cases in finance

    Another scenario is solving the Portfolio optimisation problem by using the existing libraries in Julia. Of course, it is possible to write your own code but why bother unless you want to become a numerical analyst?
  125. Daniel Duffy

    Optimization algorithms - use cases in finance

    Do you mean Nocedal and Wright? mathematically advanced and too theoretical for the current project. It is black belt stuff. Bronson "Operations Research" (Schaum) is super! A bit of free/non-binding advice.. I use Nocedal _And_ Nocedal at different times for different reasons. Python has...
  126. Daniel Duffy

    Optimization algorithms - use cases in finance

    That's 3 questions 1. optimisation 2. Julia 3. Finance Learn all 3 at once?? I would focus on least squares in C/C++. Then goto next level. https://en.wikipedia.org/wiki/Linear_least_squares
  127. Daniel Duffy

    PhD after MS in quant?

    You can see this by noting how many top quants specialized in pure math topics such as number theory. It this the reason why many quants don't know PDE/FDM? Computational finance and 'pure' maths are miles apart.
  128. Daniel Duffy

    Politecnico di Milano

    What's in a name? I worked in Maths _and_ Engineering; Mathematical Engineering is a meaningless name IMO, unless someone DEFINES it! Engineering Mathematics does exist https://en.wikipedia.org/wiki/Engineering_mathematics
  129. Daniel Duffy

    Politecnico di Milano

    Looks as if it is focused on engineering, architecture, chemistry, aeronautics. They might have a finance 'enclave'?? Bocconi in Milan is more prestigious.
  130. Daniel Duffy

    Should I take PDE before MFE?

    Hard to say. It's a description. Not a detailed table of contents.
  131. Daniel Duffy

    Should I take PDE before MFE?

    TBD, scientific computing can mean anything. Do you mean 'programming'?
  132. Daniel Duffy

    Should I take PDE before MFE?

    Not necessarily. First do some background research ;)
  133. Daniel Duffy

    Should I take PDE before MFE?

    These *binary* questions are drifting from the initial question. Too general. For PDE/FDM C++ is good, However, a great way to learn FDM is to write prototypes in Python.
  134. Daniel Duffy

    Should I take PDE before MFE?

    Long story short: PDE libraries in Python has NO point. Python wasn't built for that. Libraries are built by C++ programmers and used by Python developers.
  135. Daniel Duffy

    Preparing for school

    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.
  136. Daniel Duffy

    Programming knowledge vs finance knowledge

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

    john hulls option,futures and derivatives VS The Concepts and Practice of Mathematical Finance by Mark Joshi

    Depends on your mathematical sophistication. Hull is practical.
  138. Daniel Duffy

    Preparing for school

    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.
  139. Daniel Duffy

    Preparing for school

    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...
  140. Daniel Duffy

    Applied Mathematics: course recommandation?

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

    Applied Mathematics: course recommandation?

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

    Applied Mathematics: course recommandation?

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

    Applied Mathematics: course recommandation?

    Out of curiosity, which programming langauage(s) do you know?
  144. Daniel Duffy

    Applied Mathematics: course recommandation?

    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...
  145. Daniel Duffy

    Applied Mathematics: course recommandation?

    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.
  146. Daniel Duffy

    Applied Mathematics: course recommandation?

    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/
  147. Daniel Duffy

    Applied Mathematics: course recommandation?

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

    Is Mark S. Joshi's still applicable today?

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

    Why banks need C++ developers more than ever

    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...
  150. Daniel Duffy

    Why banks need C++ developers more than ever

    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...
  151. Daniel Duffy

    How to transition from postdoc in applied maths/physics to quant research?

    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.
  152. Daniel Duffy

    How to transition from postdoc in applied maths/physics to quant research?

    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...
  153. Daniel Duffy

    How to transition from postdoc in applied maths/physics to quant research?

    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...
  154. Daniel Duffy

    Why banks need C++ developers more than ever

    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.
  155. Daniel Duffy

    Where to complete ODE and Multi-variable calc before starting? (NYC)

    KKOP rocks. It also has linear algebra and more.
  156. Daniel Duffy

    Why banks need C++ developers more than ever

    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.
  157. Daniel Duffy

    Why banks need C++ developers more than ever

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

    Install Keras on company computer (behind firewalls)

    Why not ask your IT department??
  159. Daniel Duffy

    Master's Thesis topics in quantitative finance?

    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.
  160. Daniel Duffy

    COMPARE Mathematical level of MAFN vs CMU or MFE

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

    Mathematical prereqs for mfe programs

    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.
  162. Daniel Duffy

    Mathematical prereqs for mfe programs

    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...
  163. Daniel Duffy

    Mathematical prereqs for mfe programs

    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...
  164. Daniel Duffy

    Mathematical prereqs for mfe programs

    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...
  165. Daniel Duffy

    Mathematical prereqs for mfe programs

    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.
  166. Daniel Duffy

    Master's Thesis topics in quantitative finance?

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

    Master's Thesis topics in quantitative finance?

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

    Where to complete ODE and Multi-variable calc before starting? (NYC)

    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.
  169. Daniel Duffy

    Where to complete ODE and Multi-variable calc before starting? (NYC)

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

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

    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...
  171. Daniel Duffy

    FAQ: Advanced C++ and Modern Design Online Course

    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...
  172. Daniel Duffy

    Why banks need C++ developers more than ever

    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...
  173. Daniel Duffy

    Why banks need C++ developers more than ever

    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...
  174. Daniel Duffy

    Why banks need C++ developers more than ever

    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.
  175. Daniel Duffy

    COMPARE compare Oxford MCF with US programs

    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...
  176. Daniel Duffy

    COMPARE compare Oxford MCF with US programs

    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...
  177. Daniel Duffy

    Books based on Software engineering for finance.

    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...
  178. Daniel Duffy

    Why banks need C++ developers more than ever

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

    The changing face of New York

    Well, Barbara Streisand likes NYC
  180. Daniel Duffy

    Taking math classes post grad

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

    Why banks need C++ developers more than ever

    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
  182. Daniel Duffy

    I had mentioned to Devon about my other deadline. I am almost finished now and now we can free...

    I had mentioned to Devon about my other deadline. I am almost finished now and now we can free resources to get the slides and exercises. The C++17/20 is small compared to C++11. So it is an add in update. The rest of the course is the same. The two parts are essentially orthogonal. So, you can...
  183. Daniel Duffy

    How important is being able to write good mathematical proofs for quant finance?

    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...
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