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Interview with Daniel Duffy


You've read his books. You’ve seen his posts on the popular quant finance forums. You may have heard of Datasim Financial. Let's find out more about it from the founder, Daniel J. Duffy.

Hey Daniel - Thanks for taking the time to participate in a QuantNetwork interview.

Hello Andy, well thank you for inviting me to your site. It’s an honour.

What is your educational background?

I had a BA (Mod) in Pure Mathematics, MSc in Numerical Analysis and a PhD in Numerical Analysis, from Trinity College Dublin. I also did part of my research in Pavia, Italy and Nijmegen, The Netherlands. Most of my research centred around PDE, FEM and FDM for convective diffusion equations and heat transfer, which are not a million miles away from skills that are needed in computational finance. After university, I worked in industry on a range of scientific, engineering and industrial projects.
I was born in 1952 in Ireland and have lived in The Netherlands since 1977. I am married to Ilona and we have a 15-year son Brendan who is BTW a baseball player and an avid Yankees fan (sorry you Red Sox guys).

What do you consider as your accomplishments up to this point?

Setting up my own company in 1987. We train engineers, quants, IT professionals and scientists. We also develop software ‘specials’ and some conultancy.

Any failures you'd like to tell us about?

Not sure, life is more like ‘continuous improvement’. But not doing your best in any endeavour would be seen as a failure, I suppose.

What are your favorite books? Movies? TV shows? Music? Games? Food? Beverages?

I like books on history, philosophy and literature on universal themes. I hardly ever watch TV, unless there is a good rugby or tennis game on. My favourite food and country is Italy. They have made eating into an art form! “
When I am on vacation in Ireland I have one or two sips of Guinness.

Which websites do you visit regularly?

Wilmott , Quantnet, NP, OpenMP, Datasim Financial

How did you learn about Quantnet?

Can’t remember anymore. I think from one of your members.

What do you do for fun and relaxation?

Relaxation? What’s that? :)
I try to get in judo sessions each week to keep the body and mind together.

What is Datasim Financial and how did it come about?

I worked in 1992 with an early version of a pricing application and in 1999 I attended a conference in NYC on derivatives, after which time I decided to get into this area.

Tell us about your customers.

Quants, developers and trader. I also train IT people who work in engineering and industry.

Have you thought of teaching in one of the many MFE, Math Finance programs full-time?

Make me an offer!
I have given a number of training courses to universities in the US and UK.

I’ve noticed that you wrote several books dating back to 2004 using C++ as the main language. Your latest book is “C# for Financial Markets (Wiley Finance)”. Do you think C# will be the next “it” programming language for quant finance?

I think the language is not so important but I do see that C# is a great language for desktop computational finance applications.

Give us your thoughts on Quantlib, Boost, XLW. Do you foresee any traction for a major “Quantlib for C#” type of project?

I think we need to take a fresh look at what the requirements are! I find the object-oriented paradigm needs to be extended to support component technology and contracts. And more generic (aka template) programs.

ISDA recently launched CDS standard model as open source. Your thought on future of open source on Wall Street.

Not sure. I feel it is not a non-issue. But I might be wrong.

What other projects are you involved in?

A number. One ongoing project is discovering new FDM for high-factor (n >=3) PDE models. A number of new techniques are needed and the schemes can be parallelized. In this way I hope to do something about the ‘curse of dimensionality’.

Can you describe a typical work day for us?

Varied. I do a lot of talking and when not talking I am scribbling stuff on bits of paper. I program quite a bit to test new algos and so on.
The day begins with 1 strong coffee; after that I tend to drink tea.

Where do you look for new ideas?

I will tell you that over a Guinness next time in NYC! NDA of course ;)

Where do you see the quantitative finance going in the next 5 to 10 years?

It will become ‘computational’ finance? At some stage all the Finance models will become standardized?? Just a guess.
Finance apps will become linked up to real-time data acquisition systems.

What advice do you have for people looking for a career in this field?

Learn maths and programming. The day of pencil and paper is over. Parallel computation has a good future.

What do you know now that you wish you'd known 10 years ago?

That’s like predicting the future! It would be no fun. We would just be waiting for something to happen :)

Tell us something about yourself that we don't already know.

Did you know I am trying to fathom Finnegans Wake by James Joyce? I had reached page 10!

Do you have any new book in the pipeline?

Yes, I have just finished the Monte Carlo book and the next is C# for Fixed Income.
And I am writing 2 volumes on the boost library and its applications which will be published in its entirety by Datasim as its staff have expertise in the publishing process.

What does the future hold for Daniel J. Duffy?

Prediction is difficult, especially the future! I expect to continue doing applied maths and its applications, especially in combination with parallel computing. I expect resurgence in interest in science and engineering. But who knows?

Thank you Daniel for taking the time to interview with us and on behalf of Quant Network, best wishes for your future endeavors.

Thank you Andy.

See also