25 August 2021
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...
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.
I have been an external supervisor at the University of Birmingham since 2014 for MSc students who research and produce a thesis in the summer months June-September. The focus is on analysing a financial model, approximate it using numerical methods and then producing working code in...
How many Ways are there to compute Derivatives of a Function?
Differentiation, Sensitivities (greeks), gradients, Jacobians etc.
The computation of derivatives and gradients of scalar and vector-valued functions is a pervasive and ongoing activity in many areas of computational finance...
"My office is 365, which is 2016."
I don't have Excel 2016 myself but I know someone has it and I am using VS2017.
What are the settings to be made in ExcelImports.cpp to get it running?
PDE are not immune to the DL revolution it seems.
Here is a random example.
Neural networks for solving differential equations – Becoming Human
My suspicions is DL for PDE is a solution looking for a problem. Both articles has major major issues on many levels.
A certain amount of...
I have downloaded
1. Text editor Anaconda
2. Visual Studio Python
2. has nice IDE but I don't know how to install NumPy etc.
1. looks complete + all libraries but is a text editor (which is not to nice).
Ideally, I want to use both options in a Visual IDE. Any ideas?
These are hot topics and every now and again people ask if they help you get a job. My answer is: I don't know!
Here is a quote from someone seemingly working in the field. I am only the messenger, so stay calm ;)
It would be nice to get feedback from those working in the field.
This first chapter on a defined process for software design that subsumes several other methods. Now that C++11/C++14 and C# are here we can easily map design blueprints to code.
We take several smallish and medium-sized examples. We have the design for MC and PDE models, for example. Exercise 5...
// (C) Datasim Education BV 2012
// Office 2003 (Office v11) (Will give error (actually a warning) that you need W2K or higher to run the result)
/*#import "C:\Program Files\Common Files\Microsoft Shared\office11\mso.dll"...
" "Big Data" is an important topic these days, not only in finance but also in other industries where quantitative skills are in high demand. We have it covered in this guide. You will learn what it means, how to prepare and reinvent yourself for this growing job market."
My question: "what is...
This is a preview of Chapter 18 An Introduction to Thread in the upcoming book From: Introduction to the C++ Boost Libraries – Volume I – Foundations.
18.1. Introduction and Objectives
In this chapter we discuss how to create C++ code that make use of multi-core processors. In particular, we...
In this blog we give an overview of the statistical univariate distributions in the Boost Math Toolkit. We discuss the functionality in the Toolkit, some examples of use and applications to computational finance.
The Math Toolkit has many applications and is easy to understand and to apply in...
Part I - Introduction and Initial Examples
In this article we give an overview of the Boost C++ libraries (www.boost.org) and we discuss their applicability to certain problems in computational finance. There are approximately 90 libraries in Boost at the moment of writing and each one is...
This link might be useful for those using C++ in computational finance. In the past, developers tended to build their own versions but it is advisable to look at boost brefore re-inventing the wheel.
Hope this helps.
Datasim Financial Forums | View topic - The Boost Library; Overview, Code...