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  1. 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...
  2. Daniel Duffy

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

  3. 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.
  4. Daniel Duffy

    MSc Theses on Machine Learning and Computational Finance

    Background 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...
  5. Daniel Duffy

    Computing sensitivities/greeks in computational finance, optimization and Machine Learning (ML): the Candidates

    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...
  6. Daniel Duffy

    Daniel Duffy's C++ ExcelDriver

    "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? muchos gracias @APalley @GONG CHEN
  7. Daniel Duffy

    Financial Instrument Pricing using C++ (Second Edition)

    I have just been informed by my publisher John Wiley today (my nth birthday !) that my second edition will be published 31 August 2018.
  8. Daniel Duffy

    Unable to use features in a post

    when I create a post all the features (Bold, Italic, emoticon etc.) are disabled. Is it just me?
  9. Daniel Duffy

    Deep Learning (DL) and Partial Differential Equations (PDE)

    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...
  10. Daniel Duffy

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

    On this blog I would like to share some of my work. Feedback relating to these topics very welcome.
  11. Daniel Duffy

    Python Questions

    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? Thanks!
  12. Daniel Duffy

    Machine Learning, Deep Learning and AI: Perspectives

    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. Speaking as...
  13. Daniel Duffy

    Mathematical and Technical Quotes

    "Looking it up in a book is giving up." Paul R. Halmos
  14. Daniel Duffy

    Cryptic data from outer space

    What does this data mean? is it random or (do the aliens even read from right to left?)...
  15. Daniel Duffy

    Unified Software Design with Applications in C++ and C#

    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...
  16. Daniel Duffy

    MSc theses in computational finance

    Here are approximately 16 theses from 2014 and 2015 that I supervised Datasim Financial Forums • View topic - MSc theses in computational finance
  17. Daniel Duffy


    C++11 https://en.wikipedia.org/wiki/C%2B%2B11
  18. Daniel Duffy

    Functional Programming

    Someone asked what a monad is last night at Baruch https://en.wikipedia.org/wiki/Monad_(functional_programming) Thanks to @Yike Lu
  19. Daniel Duffy

    Testing your installation of Excel for C++ course

    // ExcelHelloWorld.cpp // // (C) Datasim Education BV 2012 // #include <string> #include <iostream> // 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"...
  20. Daniel Duffy

    All Excel C++ Interop Interfacing Visualisation here

    I, hello world test
  21. Daniel Duffy

    "Big Data" .... what is that?

    " "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...
  22. Daniel Duffy

    Most popular Programming Languages

    June 2013; C is numero uno http://www.tiobe.com/index.php/content/paperinfo/tpci/index.html?goback=%2Egde_2888685_member_215657836
  23. Daniel Duffy

    Matrix libraries in C++ and C#

    I am investigating what the open source libraries are. I know Eigen Boost uBLAS Atlas and maybe Alglib CERN ROOT(?) Are there others you use? Which functionality do you need in these libraries?
  24. Daniel Duffy

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

    Maybe this will help http://www.datasim.nl/Education/Videos/MyFirstProject/ This is the best piece of information, ever :) It will save you so much time. It did for me :)
  25. Daniel Duffy

    C++ Multithreading in Boost

    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...
  26. Daniel Duffy

    C++ Statistical Distributions in Boost

    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...
  27. Daniel Duffy

    Boost C++ Libraries and Applications to Computational Finance

    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...
  28. Daniel Duffy

    C++ boost library: compact reference

    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...
  29. Daniel Duffy

    Part time MFE for this fall

    Hi, I plan to start my mfe program part time and would like to enroll in one course this semster , Could anybody give me pointers how to proceed with this. Thanks Vikram