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I have been doing OO since 2002, most of the time in regular SDLC style, did some sort (no scrum) of Agile while doing HFT. Did also a bit of vectorial programming at the HFT firm, they had implemented their own language for algos, like R but it was done in C++. I have spent my entire career on...

Lotus Notes Domino (Formula language, lotusScript, Domino architecture) for Big Four, Bank, and Oil Java and Perl with SQL Server at Start ups J2EE with Struts, Weblogic/Websphere with Oracle: automotive, and print/pack (advertising) industry Core Java 1.4 for P&L and Sensitivity computing...

Anyone knows about good ressources related to R and financial engineering? There is a lot for MATLAB, but I find it hard to find material related to R for FE. Thanks

It seems like many assume that large numbers are integers. When I read arbitrarily large numbers, I read operations between int, double, floats... which I think one should make sure that the result of the operation is not truncated to the shortest type. I would probably go for a template class...

Hi Marko, Like Lugh said, HPC is a big area and can be performed in many ways. Depending on what you are trying to achieve you have different possibilities. For example, if you are looking to speed up Monte Carlo simulations, GPU might be an option. Other type of parallel programming pattern...

Best wishes to all of you guys for 2009. I have a question about wilmott's book on options pricing. It seems very hard to find. Any idea why? out of print? Where can I find it besides amazon's used books section? Thanks

Are you talking about the Wilmott book about option pricing?

Hi I am enrolled in a financial engineering MSc in Paris and I am looking for a good book in numerical methods for finance. If there was "One" book to recommand, which one would it be? Thanks and merry christmas to all of you.

Hi Dominic, I have sent you my resume a while ago as well, but did not receive a copy of the guide. Could you please send me a copy to cvertueux@hotmail.com Thanks

Hi guys I have actually started that program. Concerning financial classes, just for that semester we have 3 finance classes, one that covers financial products, one that covers credit risk and a third that covers macro/micro economics aspects of finance. On top of that you add c++ and...

If I ever get accepted I'll definitely keep you guys posted. The most famous programs in France are Nicole El Karoui DEA and Laure Elie DEA. But one should keep in mind that those programs are heavy pure quant programs so not really fitted to the quant dev world. You might have ran into...

Remember that most french students don't speak english and in the quant world it is impossible to get through without english. Also don't get twisted by the Syllabus, the course is not that short. You already have a pretty heavy load of Math and Finance as well. I have talked to people who went...

Hi, You should check out that french program directed by Stephane Crepey. It is taught at university of Evry which is at 30min from Paris. I think it is one of the closest program to Quant/Dev demand. You have the necessary programming with C++, Java and VBA Excel, plus the math. Let me know...

Hi there, Switching to quant might be very challenging because you don't have an engineering background. Without the undergrad background necessary to enter a MFE program, I hardly imagine any program accepting your application. You can probably try programs that require some students to go...

Hi In France they ask for Age and Marital status, and am sure it is a discriminating factor. Then the government wonder why people prefer to cross the Channel to get jobs in general and moreover in the financial industry. What a pitty. It's a cultural thing so I don't think it will change...

Does anybody got a good online or PDF ressource on PDE. I am looking for something that covers the basics first, I'll check more advanced topics later. Thanks ;)

Engineering degree in cs/applied math, currently working on P&L/Risk software for an IB. I am considering joining a MFE program to perform tasks that are different from the usual software programming. Since I haven't done math for a very long time I have signed up for 2 classes of applied math...

1st, I am interested in an international career. I have already worked in the US in the past, and the way they work in the US and the UK fits me better. 2nd, you should know that most programs of that type in France are very theorical and very math focused, thus not very adapted to people like...

Yess I am working in France as a contractor in Equity Derivative P&L-Risk Systems. I am considering either going to the US, or to London. Before going back to school, I might try to get a role as a it-quant, I'll see how thnigs work out. Before entering any program, I'll need to rust off my...

Hi, I am Christophe and I am from France. I have 9 years of experience in software engineering and even though I have a joint degree in computer science and applied math(Maitrise), I have joined the field of investment banking about 18 month ago. I am considering enrollment in a graduate program...