Search results

  1. Daniel Duffy

    How relevant is M.Sc in Scientific computating to get in the quant career

    On the topic of learning languages nowadays. People don't have the discipline/patience to learn them properly. Everything is in the present tense. So a phrase like "I don't smoke, but if I were to smoke, I would smoke Marlboro' is a bridge too far. In the old days school kinds learned Latin...
  2. Daniel Duffy

    How relevant is M.Sc in Scientific computating to get in the quant career

    I doubt it. At least in NL the locals won't give you a chance. Solution is to marry a Dutch woman!
  3. Daniel Duffy

    How relevant is M.Sc in Scientific computating to get in the quant career

    2 years to learn German _and_ French? Do you speak any other Indo-Europen languages?
  4. Daniel Duffy

    Is lebesgue integral/measure theory critical for MFE admission?

    Traditional measure theory is not constructive. https://plato.stanford.edu/entries/mathematics-constructive/
  5. Daniel Duffy

    1-2 day crash course on SQL reco

    SQLite in Python would be good for hands-on https://realpython.com/python-sql-libraries/ And supplement with a book like "SQL for Dummies" (no offence :)) Take a mini case with 3 tables e.g. a stripped version of Northwind DB...
  6. Daniel Duffy

    GameStop GME and WSB saga

    pump and dump 2.0?
  7. Daniel Duffy

    Wristwatch

    And C++. And good Guinness.
  8. Daniel Duffy

    Pricing engine project

    You can do push up or pull up yourself at home, or you can pay $120/month for a good gym, or even you can spend $200 more for a dedicated personal trainer. I love it! How long does it take to learn linker error on your own...
  9. Daniel Duffy

    Wristwatch

  10. Daniel Duffy

    Alternative UK Quant Programs

    I have worked with the University of Birmingham as external MSc supervisor since 2014. Director Dr. Coilin Rowat 3 theses here https://www.datasim.nl/blogs
  11. Daniel Duffy

    Wristwatch

    Of course, they had 500 years to perfect he wristwatch!
  12. Daniel Duffy

    Wristwatch

    Great; it's like having a Nokia 3310. at the end of the day, gotta go for Japanese reliability.
  13. Daniel Duffy

    UW CFRM Online

    Your mathematics looks superb, Paris! Can you program in C++ and hands-on with the above topics? Did you do finite difference (FDM), or mostly FEM?
  14. Daniel Duffy

    Wristwatch

    What watch does Young Sheldon wear?
  15. Daniel Duffy

    I would like advice on how to become a quant

    My main concern -in general- is that gluing libraries together is not the same as programming, a term BTW that I don't often hear. And the blind spot (what they don't learn in CS school) is writing code with flexibility and maintainability in mind
  16. Daniel Duffy

    Wristwatch

    Casio "No Worries" G-Shock.
  17. Daniel Duffy

    Choosing class between Math Analysis II and CS Intro to Computer Organization

    The CS book is very advanced and not all that relevant to MFE. Great if you want to be a systems/HPC developers. Hands-on programming is more important. 'Computer organizatiion' is scary title, feel llke a solution for a problem.
  18. Daniel Duffy

    Math MS vs AM MS dual degree

    yes, you will not regret it.
  19. Daniel Duffy

    I would like advice on how to become a quant

    "Fluent" could mean anything. Can you program? For C++ it means being able to write programs, from scratch if need be.
  20. Daniel Duffy

    Deep Learning in Quant Trading

    I Before software goes into production, you need a prototype to show its feasibility. We are getting to the stage whereby the unfounded hype has died down a bit (e.g. NL 10,000 times faster than trad PDE.. ridiculous and irresponsible claims). Example: Rough Heston ML is [7,17] times slower...
  21. Daniel Duffy

    Need Advice For My Future Job In Quantitative Finance

    Is 55K brutto or netto salary? How does that work out _living_ in Amsterdam with all the high prices etc.? I don't live in Amsterdam anymore but rent/house prices have sky-rocketed. Have you considered a career switch, i.e. do something completely different? e.g. Zorg, docent. If you are good...
  22. Daniel Duffy

    I would like advice on how to become a quant

    Can you order a coffee in Python.
  23. Daniel Duffy

    Mechanical engineering student looking for guidance

    We teach the software engineering skills needed on the job through intensive mentoring at the beginning as well as code reviews. Fair enough.
  24. Daniel Duffy

    Mechanical engineering student looking for guidance

    I would say C++ is still the gold standard.
  25. Daniel Duffy

    The COVID-induced demise of the university

    'condescended' Curious choice of words.
  26. Daniel Duffy

    The COVID-induced demise of the university

    Just have a look at the Physics and Maths graduates from Pisa. + some Nobels for you. AND five POPES, wow! https://en.wikipedia.org/wiki/University_of_Pisa#Alumni I studied at Pavia for a while in the 70s and they had a top Numerical Analysis department. Among 'top quants' Italians are up...
  27. Daniel Duffy

    Math MS vs AM MS dual degree

    Why not do both numerical and stochastic analysis. Otherwise 1/2 ready hitting the ground. Stochastics is starved of good numerical methods. Few articles, books get beyond Euler's method...
  28. Daniel Duffy

    Bliss's Theorem and/or Duhamel's Principle

    Duhamel's principle is for finding the solution of PDEs. Different stew altogether. https://en.wikipedia.org/wiki/Duhamel%27s_principle I looked Duhamel theorem in Widder. Seems like the limit of a Stieltjes integral with special case Bliss. I couid find no other source. Is is not subsumed...
  29. Daniel Duffy

    Bliss's Theorem and/or Duhamel's Principle

    I don't know Bliss but Duhamel's principle/integral is for the solution of inhomogeneous PDEs? If yes, then I can give some feedback. I see there is also a Duhamel's theorem.
  30. Daniel Duffy

    Transferring Visual Studio files to a new laptop

    And you kept the Boost directory the same as well?
  31. Daniel Duffy

    Transferring Visual Studio files to a new laptop

    https://stackoverflow.com/questions/53527330/how-can-i-create-a-cmake-file-from-existing-visual-studio-cpp-project
  32. Daniel Duffy

    Transferring Visual Studio files to a new laptop

    I'm guessing a bit but maybe this? https://docs.microsoft.com/en-us/cpp/build/customize-cmake-settings?view=msvc-160
  33. Daniel Duffy

    Transferring Visual Studio files to a new laptop

    Worst case scenario .. you might have to create projects from scratch. However, maybe not? Do you have many projects? Guess CMake on VS2019??
  34. Daniel Duffy

    Mechanical engineering student looking for guidance

    Same hare; I haven't been there for a while. And expensive after-ski bars in that area :) TBH it started to become a bit show-offy .. who uses cool C++?
  35. Daniel Duffy

    The changing face of New York

    this site is not available in "most European countries" when I click it Unfortunately, our website is currently unavailable in most European countries. We are engaged on the issue and committed to looking at options that support our full range of digital offerings to the EU market. We...
  36. Daniel Duffy

    The Queen's Gambit

    Bobby Fischer was a super star. He beat the Soviet Machine on his own. I lived in NYC when he played Spasski. It was on TV 1/2 the day, the other 1/2 was Nixon's Watergate gig. Riveting.
  37. Daniel Duffy

    Mechanical engineering student looking for guidance

    Hahah! If I have to believe my professors, we are 'just ' behind Harvard xD! It's a start. BTW happy anniversary 179 years THD/TUD. Just a guess but they want C++, traders. PhD? Can you program in C++? an idea is the C++ Meetup in A'dam etc. organised by Ray Burgemeester. Finance people attend.
  38. Daniel Duffy

    Beginner Project

    Some ML/finance projects at MSc level using Python, Python libraries and C++ You could try something similar, say Black Scholes 101 to learn the process. Much better than baboon derriere recognition. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance-2019...
  39. Daniel Duffy

    I do not like Math

    How can someone not like ODE/PDE is beyond me. Next ?? you don't like C++ and Python.
  40. Daniel Duffy

    CS PHD at Oxford looking for potential quant jobs

    Correlation is not causation. He is a mathematician,
  41. Daniel Duffy

    CS PHD at Oxford looking for potential quant jobs

    Stupid question why not a career in cybersecurity? is it not a hot topic?
  42. Daniel Duffy

    CS PHD at Oxford looking for potential quant jobs

    Most (?) PhD quants tend to be maths or physics. They are comfortable with all kinds of models. And C++ is still blue chip I reckon. In general, CS students tend to learn discrete maths/combinatorics and almost no hard analysis?(?) as a quant you need to know stochastics. PDE etc.
  43. Daniel Duffy

    C++ Online Certificate Students' intro thread

    At the risk of blatant marketing, I offer an online ODE/PDE with application to finannce.
  44. Daniel Duffy

    Mechanical engineering student looking for guidance

    Delft is #10 in the world??!! No way. We Amsterdammers have a saying "Delft is world famous in Delft". Don't take offence. LOL. And the ranking is not a concern here. C++ is a good start (almost essential) + more maths. And looking forward, it might depend on whether you want to work in say...
  45. Daniel Duffy

    Pricing engine project

    Means a series of working prototypes. “An expert is a person who has made all the mistakes that can be made in a very narrow field.” ― Niels Bohr
  46. Daniel Duffy

    Pricing engine project

    BTW a nice initial project could be using Joshi's C++03 approach, get it working and then porting to C++11. https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/
  47. Daniel Duffy

    Unique Quant Opportunity

    What's your company called?
  48. Daniel Duffy

    What courses should I take as an undergrad?

    Rudin is rigorous, in fairness. The only thing it is missing is lots of concrete examples. And use George Polya's tips and tricks. Academia has had 70 years to achieve a next gen Rudin book on analysis. It's hardly rocket science at this stage. “The heart of mathematics consists of concrete...
  49. Daniel Duffy

    Pricing engine project

    You're welcome. Regarding design patterns, I have used them since 1994 in application an 1000s of students QL uses them a lot. There are 23 patterns .. about 5 do the business.
  50. Daniel Duffy

    Pricing engine project

    A little knowledge is a dangerous thing. Of Will Hunting is Hollywood, i.e. fantasy. Good luck.
  51. Daniel Duffy

    Pricing engine project

    Depends what you want to learn. The best way to learn C++ is QN C++ course. // OO Design patterns is OK but somewhat outdated in the C++11/C++17 era. Mark's book is 90s C++. TBD traditional OOP has seen its best days. But what do I know. I would install Quantlib and get Luigi's book...
  52. Daniel Duffy

    What courses should I take as an undergrad?

    425a is a non-starter?
  53. Daniel Duffy

    Pricing engine project

    You should learn C++ before even 'simple' products.
  54. Daniel Duffy

    Pricing engine project

    Start at the beginning i.e. learn C++.
  55. Daniel Duffy

    Pricing engine project

    better go off and Learn Quantlib and my C++ books.
  56. Daniel Duffy

    Pricing engine project

    "basic knowledge of Object-Oriented Programming in C++ and design patterns." Not a good start.
  57. Daniel Duffy

    Pricing engine project

    Is this a (student) project? Or production? SOLID is neither necessary nor sufficient. Is it pro-bono or commercial? This is not an easy task and it will take time. And SPENDING MONEY and PRECIOUS TIME.
  58. Daniel Duffy

    What courses should I take as an undergrad?

    425a is using Baby Rudin, and I'm not a keen fan of the book. It came out almost 70 years ago and should be in a nursing home for the elderly. Yes, we know, What's your remedy?
  59. Daniel Duffy

    Can someone recommend an online multivariable calculus course?

    https://www.datasim.nl/onlinecourses/103/distance-learning-pure-mathematics-foundations https://www.datasim.nl/testimonials
  60. Daniel Duffy

    What courses should I take as an undergrad?

    ODE, PDE and numerical methods? And C++
  61. Daniel Duffy

    Advice Math Prep Courses for Applications

    yes, pls contact dduffy@datasim.nl
  62. Daniel Duffy

    Advice Math Prep Courses for Applications

    https://www.datasim.nl/onlinecourses Discount for students.
  63. Daniel Duffy

    Transitioning into Quant Roles from Enterprise Risk

    My guess would be knowing computational fluid dynamics and Fortran would make an impression.
  64. Daniel Duffy

    The COVID-induced demise of the university

    Maybe brush up on Italian history and culture “You know what the fellow said – in Italy, for thirty years under the Borgias, they had warfare, terror, murder and bloodshed, but they produced Michelangelo, Leonardo da Vinci and the Renaissance. In Switzerland, they had brotherly love, they had...
  65. Daniel Duffy

    Programming Experience for Admission

    QN C++ and Python!
  66. Daniel Duffy

    The changing face of New York

    Whole families have moved to Florida ;)
  67. Daniel Duffy

    Help out an aspiring quant in hs

    Maths + CS has no expiration date.
  68. Daniel Duffy

    Is there a "LeetCode" type website for math & prob brain teasers?

    I suppose it's a fixed number of tricks to learn and practice. In the 60s school kids had 'mental arithmetic' classses. typical example: divide x^3 - 4x^2 - 11x + 30 by x+3 in your head. what about a mental abacus? https://en.wikipedia.org/wiki/Mental_abacus
  69. Daniel Duffy

    Is there a "LeetCode" type website for math & prob brain teasers?

    Sounds mind-numbing and demoralising.
  70. Daniel Duffy

    Should I take ODE or calculus-based probability?

    Some universities require ODE/PDE https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
  71. Daniel Duffy

    Tutorial: QuantLib Installation in Visual Studio 2013

    And Luigi Ballabio (the inventor of QL) https://pbs.twimg.com/profile_images/1289933908520439810/ZP13FU8y.jpg has a book on QL
  72. Daniel Duffy

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

    yes, all of those. They will be integrated into the Advance C++. In fact, some new features in C++17/20 course are in Boost (so, essentially replace boost namespace by std). Plan is in 2nd week of January 2021 up and running.
  73. Daniel Duffy

    can't compile the code in visual studio

    1.cpp is not a good name in the first place. https://docs.microsoft.com/en-us/cpp/windows/walkthrough-creating-a-standard-cpp-program-cpp?view=msvc-160
  74. Daniel Duffy

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

    Analysis of COVID-19 Mathematical and Soware Models: Or How NOT to Set Up a Soware Project https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10890 (already published as a preprint; thanks to Paul Wilmott and the team.)
  75. Daniel Duffy

    How to become a quant for a PhD in Pure Maths student?

    Quantnet C++ course, for sure. Depending on pure maths, it may or may not be useful initially. ODE/PDE and numerical analysis. And Python (QN has a course). Lots of hands-on stuff. I think CQF is more useful maybe when you already have a job? edit what's the PhD topic called?
  76. Daniel Duffy

    What are my chances?

    Maths, ML etc.?
  77. Daniel Duffy

    On extra-curricular activities

    It's not a pub quiz. Though Americans use only one word, “whine,” the British use both: “whining” covers a variety of meanings, including sounds made by people, animals, or inanimate objects, and “whingeing” (also spelled “whinging”) is more specifically for peevish or fretful complaining. The...
  78. Daniel Duffy

    On extra-curricular activities

    Actually, it is 1142 pages, with 22 pages index. Seriously, this thread is beginning to sound like whinging.
  79. Daniel Duffy

    On extra-curricular activities

    Still, it is not cricket (stereotypes).
  80. Daniel Duffy

    Importance of math rigorousness and other questions

    Trying to predict the future, I see Functional Analysis for ML on the horizon https://en.wikipedia.org/wiki/Reproducing_kernel_Hilbert_space
  81. Daniel Duffy

    Importance of math rigorousness and other questions

    No problem. There is a student discount!
  82. Daniel Duffy

    Importance of math rigorousness and other questions

    Not only is analysis 'deeper' than Calculus, it helps to teach how to start thinking like a mathematician. See Polya for a brilliant exposition https://en.wikipedia.org/wiki/How_to_Solve_It Mathematics is not a deductive science -- that's a cliche. When you try to prove a theorem, you don't...
  83. Daniel Duffy

    Importance of math rigorousness and other questions

    In this link, parts B,C and D are wonderful foundation for much of the stuff to learn for many studies. It would be a great mini course and I can cook up good examples in C++ and Python. https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf
  84. Daniel Duffy

    Importance of math rigorousness and other questions

    Where does the R-S break down so to speak?
  85. Daniel Duffy

    Importance of math rigorousness and other questions

    I would say that real analysis is core, everything else felt like an "add-in", the exception being Functional Analysis.
  86. Daniel Duffy

    Importance of math rigorousness and other questions

    If you know how to construct and have worked with Riemann-Stieltjes integrals (standard in a Real Analysis I course), then Itô integrals will seem relatively tame to you. Nope. It won't help with Girsansov, Radon-Nikodym, Feynman-Kac,... Lebesgue is better. I think Dineen is good book. He is...
  87. Daniel Duffy

    Importance of math rigorousness and other questions

    Calculus is about learning (useful) tricks. It is has its limits, Real analysis is learning to think like a mathematician. And a lot of students are missing a decent grounding in numerical analysis. A good PhD can take a completely new problem and solve it from scratch. Just having a PhD in...
  88. Daniel Duffy

    Analysis of Covid-19 Mathematical and Software Models Or how NOT to set up a software project

    Annotations on BBC2 TV programme “Lockdown 1.0 – Follow the Science” 1. Nothing (data, precedent) to go on in January except work by the modellers. Too much reliance on the models. Modelling was the driver of the “Science”. 2. Not a single institute (bar a single scientist from...
  89. Daniel Duffy

    Advice for Choosing UK MSc Programmes

    I don't know .. you probably need to inquire with the uni, And it depends on the 'kind' of MSc I suppose .. research or more practical. How long is a piece of string?
  90. Daniel Duffy

    Advice for Choosing UK MSc Programmes

    I suppose what you know >> what Michelin star you have/paid? But I am not in HR.. My students who are assigned to me tend to get full-time jobs after 2-3 months. They have good C++ and maths background. I don't take them otherwise.
  91. Daniel Duffy

    Analysis of Covid-19 Mathematical and Software Models Or how NOT to set up a software project

    Update November 2020 Covid models revisited, BBC2 "Lockdown 1.0 - Follow the Science" Apart from hubris and lies from the politicians, the penitent scientists(*) don't come out unscathed. I listened twice to get all the nuances. Some of the original doubts and questions in this thread have...
  92. Daniel Duffy

    Advice for Choosing UK MSc Programmes

    What about Birmingham? Here is a 2020 thesis https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020
  93. Daniel Duffy

    Prospective application

    For the record, I am the originator of the Datasim ODE/PDE course. https://www.datasim.nl/onlinecourses
  94. Daniel Duffy

    MSc Theses on Machine Learning and Computational Finance

    MSc thesis Chun Kiat Ong University of Birmingham UK, 2020. Abstract This is one of the first MSc theses to address the full software lifecycle of the analysis (maths), design (Structured Analysis/top-down decomposition) and implementation (C++, Python, ANN, Keras, TensorFlow) to computing...
  95. Daniel Duffy

    2021 QuantNet Rankings of Financial Engineering (MFE) Programs

    There's an option as user to report on wayward posts, it's called "Report', a chance to be pro-active and call them out publicly with a factcheck. Twitter has armies of moderators, it' just not feasible IMHO in this forum. A big issue is anonymous names (aka internet warriors) .. it could be...
  96. Daniel Duffy

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

    “The management question, therefore, is not whether to build a pilot system and throw it away. You will do that. The only question is whether to plan in advance to build a throwaway, or to promise to deliver the throwaway to customers.” Frederick P. Brooks Jr., The Mythical Man-Month: Essays on...
  97. Daniel Duffy

    The changing face of New York

    Yes, it changes as you go from one province to another one. Not all provinces speak standard Dutch and many have their own 'almost' languages which I cannot understand. Strangely, Afrikaans is easier to understand.
  98. Daniel Duffy

    The changing face of New York

    In Dutch, native speakers get quite a number of curious effect when speaking and spelling both Dutch and English. Notably is pronounced as a t v like f, b like p etc. e.g. crap salad, weed(70s slang for marijuana) becomes nederwiiet, electricity grit, cornet beef, feetback Amsterdammers...
  99. Daniel Duffy

    How to interop C++ with VBA

    If I had to do Excel integration I would combine native C++ and .NET worlds 1. Write core code in native C++ and C++/CLI. 2. Write a C# wrapper for stuff in 1. 3. Call stuff in 2 from Excel-DNA. In reality, legacy code will not go away.
  100. Daniel Duffy

    The changing face of New York

    Rhoticity https://en.wikipedia.org/wiki/Rhoticity_in_English In New Jersey, Pizza Paula is a pizza parlor, And Bostonians drop the 'r' at the slightest whim.
  101. Daniel Duffy

    The changing face of New York

    he talks too slow .. he's from Cork, I'm from Dundalk! I worked in NYC in 1972 ... recession BIG TIME. https://thalesians.com/aiovg_videos/daniel-duffy-some-perspectives-on-computational-finance-and-ml/
  102. Daniel Duffy

    How to interop C++ with VBA

    Sounds good. I never used dlls with 'real' C++ but just good old C. Have you static methods?
  103. Daniel Duffy

    How to interop C++ with VBA

    Another option might be to mail the Quantlib user group.
  104. Daniel Duffy

    How to learn stochastic calculus?

    I just bought my own copy and it arrived yesterday. It is much better and lucid than a lot I have seen down the years. And Sean Dineen is a top pure mathematician. Some background on SD is here https://www.maths.tcd.ie/pub/ims/bull64/M6403.pdf
  105. Daniel Duffy

    The changing face of New York

    Here's how the Germans are tackling Corona
  106. Daniel Duffy

    Choosing final class for econometrics minor

    What do you program it on? Any maths modules?
  107. Daniel Duffy

    How to interop C++ with VBA

    ? https://www.quantlib.org/quantlibxl/ Bovey et al Excel has a chapter on xll. But maybe xlw has runs its course ... no support .
  108. Daniel Duffy

    How to interop C++ with VBA

    LMGTFY http://xlw.sourceforge.net/
  109. Daniel Duffy

    How to interop C++ with VBA

    A friendly package is Excel-DNA in C# https://excel-dna.net/ If I were to do it I would choose (as a learning project (*)) C++/CLI that speaks BOTH native C++ (the stuff in QN course) and .NET. https://en.wikipedia.org/wiki/C%2B%2B/CLI...
  110. Daniel Duffy

    How to interop C++ with VBA

    You can call it what you want so long as you don't call it C++! BTW no harm to call it C, but let's not inflate it. Personally I find Dalton's approach daunting and middles ages at this stage. It would be torture for the new generations. In fairness, companies use this legacy. The late Mark...
  111. Daniel Duffy

    How to interop C++ with VBA

    There's several ways to solve this problem. BTW it is not possible to write a dll in C++, it must be C! Long story short: use the blue-chip advice from Axel Vogt. In used the same approach on an MBS application 4 years ago. It works fine...
  112. Daniel Duffy

    Don't use non-western alphabets

    That is pseudo-code. It won't crash.
  113. Daniel Duffy

    Don't use non-western alphabets

    That's why it is so important to learn proper programming in C++, a bit like learning Italian or German. Is it just to survive on holidays or as a lifelong skill.
  114. Daniel Duffy

    C++ Online Certificate Students' intro thread

    Great! CS and C++ is a cracking combination :ninja:
  115. Daniel Duffy

    How to learn stochastic calculus?

    I agree. It is NOT an introduction! (I did about 4 undergrad courses on this + applications and it is still a challege). Plan B: KLoeden and Platen,
  116. Daniel Duffy

    How to learn stochastic calculus?

    here is a discussion from a while back https://forum.wilmott.com/viewtopic.php?f=8&t=95199&p=681744&hilit=measure#p681744
  117. Daniel Duffy

    How to learn stochastic calculus?

    Here is a book by Sean Dineen whom I knew back in Dublin. He is a very good mathematician and it might be worth a look at...
  118. Daniel Duffy

    6 Types of Quant - Mark Joshi

    Not to mention "thought leaders" LOL
  119. Daniel Duffy

    6 Types of Quant - Mark Joshi

    Mark Joshi passed away a while back https://en.wikipedia.org/wiki/Mark_S._Joshi
  120. Daniel Duffy

    Purpose of QuantNet C++ Course?

    I taught myself how to play tennis. Then I got a coach and he said "where did you learn tennis"?
  121. Daniel Duffy

    C++ & Python

    Why do think that Cython is 'better' than Boost-Python?
  122. Daniel Duffy

    C++ & Python

    Cython is good as well. It is not the only one. be sure 1. Call C++ from Python 2. Call Python from C++ (why? just asking)
  123. Daniel Duffy

    C++ & Python

    Boost Python, for example.
  124. Daniel Duffy

    Quant Researchers: Please Help

    It doesn't have to be.
  125. Daniel Duffy

    Quant Researchers: Please Help

    PhD is probably a greater demonstration of research capabilities than an MS, For sure. Most MSc degree programs are not research in the strict sense of the word.
  126. Daniel Duffy

    Don't use non-western alphabets

    I was just kidding about the young ones; I started as Fortrn IV programmer. Apparently he does not want for loops in the code, everything must be algorithms and lambda functions for reasons of readability. And if he discovers you don't plan your code top-bottom, he is going to abruptly axe you...
  127. Daniel Duffy

    Don't use non-western alphabets

    yes, we wrote a production CAD system CADObject in C++ for mech enginering using design patterns to AutoCAD and Intergraph. Remember it was 1992 aka Dark Ages, no strings, just char* It was also used in C++ courses. Of courses, developers love to over-engineer things.. In the olde days, no...
  128. Daniel Duffy

    Don't use non-western alphabets

    Very important in real life. Legacy code(!) ... there are > 5 different string types in Windows COM, ATL (and Excel interfacing) :) There was a time C++ had no string class .. so I built my own .. it was a monster.
  129. Daniel Duffy

    Don't use non-western alphabets

    Unicode is fine https://en.wikipedia.org/wiki/Unicode
  130. Daniel Duffy

    I did bad in introductory level computer programming, does it hurt?

    How about an Abacus in C++ https://en.wikipedia.org/wiki/Abacus
  131. Daniel Duffy

    I did bad in introductory level computer programming, does it hurt?

    Chess is a niche; not to everyone's taste, perhaps. But it would be a crisp example of how to use OOP.
  132. Daniel Duffy

    Free(or paid, but prefer free) C++ library for get text infomation out of PDF file?

    What aspects of C++ can be applied to this project? It's essentially file i/o etc.?
  133. Daniel Duffy

    I did bad in introductory level computer programming, does it hurt?

    Forget the past. I would say, do the QN C++ course. It's best investment you will make, ever. https://quantnet.com/cpp/ I originated this course :)
  134. Daniel Duffy

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

    Computational Finance and Machine Learning (ML) keywords: C++, Python, design patterns, pybind11, rough volatility (Heston) models. A talk at Thalesians August 5 2020 Daniel Duffy: Some Perspectives on Computational Finance and ML
  135. Daniel Duffy

    how to meet these prerequisites for mfin

    It depends on which university you want to attend. ODE/PDE is kind of unique in its content. Overlap? Certain topics (e.g. Integration) can be approached from different viewpoints. There has to be a certain amount of overlap. If you really want to learn this stuff, these courses are useful.
  136. Daniel Duffy

    how to meet these prerequisites for mfin

    I offer robust, hands on + supervision on most maths topics. Student discounts. Online Courses :: Datasim www.datasim.nl Testimonials :: Datasim www.datasim.nl
  137. Daniel Duffy

    I'm an Undergraduate Finance Major with a CS Minor, how can should I got about meeting the quantitative requirements?

    I offer robust, hands on + supervision on most maths topics Student discounts. https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials
  138. Daniel Duffy

    Still worth it to learn C?

    C is like a Bear Grylls survival weekend, Python a cruise in the Bahamas.
  139. Daniel Duffy

    Laptop Recommendation for Financial engineering grad student

    The tasking library (PPL, TBB, Actor model) usually has a Scheduler which does all that load-balancing stuff for you.
  140. Daniel Duffy

    Advanced Calculus

    Mathematical Analysis is more than proving theorems,(which are neither necessary nor sufficient to say that you are dong analysis). Mathematical analysis is the branch of mathematics dealing with limits and related theories, such as differentiation, integration, measure, infinite series, and...
  141. Daniel Duffy

    What are the boundary conditions for the Forward contract PDE?

    Taking the exact solution as "fallback" is a good test to see is the full assembled scheme is OK. I don't use \(F_{SS}=0\) myself (I use domain transformation or price a put) but I reckon it should work. In general, the matrix will no longer be tridiagonal. A possibly good option is Neumann BC...
  142. Daniel Duffy

    Projects in C++

    Sorry for late reply. I have some ideas. I am contactable dduffy@datasim.nl @MichaelLewis
  143. Daniel Duffy

    What are the boundary conditions for the Forward contract PDE?

    Just me! :) Anyways, how is it working out?
  144. Daniel Duffy

    Laptop Recommendation for Financial engineering grad student

    ExSan, On a desktop for me,is 64Gb >> 128 Gb memory is better? And 16 cores? I'm not exactly sure about GPUs .. one thing is I am not prepared to use is C++ dialects on the GPU.
  145. Daniel Duffy

    What are the boundary conditions for the Forward contract PDE?

    why post the same question on 2 forums (btw I am Cuchulainn).
  146. Daniel Duffy

    Accuracy of Explicit Euler method (finite difference) decreases as Δx decreases, shouldn't it increase?

    The classico Crank Nicolson scheme is A-stable and not L-stable, in general the solution is AU(n+1)=U(n) where A is ideally an M-matrix, making the scheme monotone. However, in the case of CN the matrix AA can have complex eigenvalues. Well-known at this stage. We get oscillations in the...
  147. Daniel Duffy

    Accuracy of Explicit Euler method (finite difference) decreases as Δx decreases, shouldn't it increase?

    The answer has been posted on wilmott.com. Use Crank Nicolson or implicit Euler. No one use explicit Euler anymore. Better again is ADE. It's explicit and unconditionally stable AND 2nd order accurate in both directions...
  148. Daniel Duffy

    advice is needed for physics -> quant transition.

    You can easily learn SDE if you know ODE/PDE and good real analysis and a wee bit of Measure Theory (inflated importance).
  149. Daniel Duffy

    Recession is coming...

    Correlation is nor causation.
  150. Daniel Duffy

    Msc Mathematical Finance University of Birmingahm

    I have been external MSc supervisor at the University of Birmingahm since 2014 (~50 theses to date). My own focus is students with good grounding in finance, maths and C++. I am hands-on coach. It takes 3 months to get my students in top form :) In particular, the combination Maths/C++ is...
  151. Daniel Duffy

    Putting Course Experience on Resume

    You're welcome. Not sure what the best pace is, maybe certificates? A lot of people here post it on LinkedIn as well. @APalley @Andy Nguyen
  152. Daniel Duffy

    Putting Course Experience on Resume

    QN C++ if applicable. This proves that you have a good level!
  153. Daniel Duffy

    What chances nowadays to get into Quant Developer roles with a PhD in Computational Mech. Eng.

    OpenMP is certainly good for the concepts but is getting a bit long in the tooth (VS only supports v 2.0). C++ 11 has thread and tasks/futures. Just saying. And a C++ developer who is afraid of pointer sounds a bit odd. Design Patterns == GOF https://en.wikipedia.org/wiki/Software_design_pattern
  154. Daniel Duffy

    C++ Online Certificate Students' intro thread

    I have sent you an invitation :) Tung Dang
  155. Daniel Duffy

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

    Tips: improving performance in VS2019 https://docs.microsoft.com/en-us/visualstudio/ide/visual-studio-performance-tips-and-tricks?view=vs-2019
  156. Daniel Duffy

    The changing face of New York

    18 years ago., not it was 4 months ago and it exposed a white lie. You obviously don't know what went on. A rally with 400,00 bikers is crazy, 200K people have died in USA. Next you'll be saying is it only a virus and only old people contract it. But it has been politicised, how did it get that...
  157. Daniel Duffy

    The changing face of New York

    @ApolloChariot I don't do straw man arguments as you seem to be inferring. As early as March 2002 I analysed the much-touted COVID-19 software from Neil Ferguson which was used by UK and US governments. It is discussed in excruciating detail...
  158. Daniel Duffy

    The changing face of New York

    What a great memory you have! 1918. I find the above reasoning in your post is quite logically fallacious, a bit like the No True Scotsman. It's what is not being said needs to be addressed.
  159. Daniel Duffy

    The changing face of New York

    Me condescending, never!! More like shoot-from-the-hip. Anyways, nice try.. If you really want to be constuctive you could review that article instead of attacking me. If this is how far you are, then there is little hope. Denial is not a river in Egypt.
  160. Daniel Duffy

    The changing face of New York

    HEALTH AND SCIENCE Fauci says a coronavirus vaccine is ‘unlikely’ by U.S. election https://www.cnbc.com/2020/09/08/coronavirus-vaccine-dr-fauci-says-its-unlikely-it-will-be-ready-by-us-election.html He called the coronavirus outbreak in the U.S. a “mixed bag” as new cases fall in the southern...
  161. Daniel Duffy

    How to prepare for a quant job after doing a Ph.D. in physics (Quantum Information) ?

    While programming in MATLAB, Python and C++ can be more of an art Not exactly. The scientific approach is to learn C++ as it is the basis for everything And program like crazy. In my undergrad, I have done basic programming algorithms like sorting, printing patterns, data structure. However...
  162. Daniel Duffy

    The changing face of New York

    So, which part is not 'fact' http://ftp.iza.org/dp13670.pdf Not a reason to say that large groupings _don't_ help spread COVID-19. Denial is not a river in Egypt.
  163. Daniel Duffy

    What are the best programming certificates for QF (besides those offered on QuantNet)?

    There's no better C++ online course(s) than Quantnet/Baruch. At least, I haven't found one.
  164. Daniel Duffy

    The changing face of New York

    I was only quoting a fact. I do dispute that piece on NYP; the logic is somewhat flawed.
  165. Daniel Duffy

    The changing face of New York

    Really??? What about the second wave? And this? South Dakota 'super-spreader' biker rally could be linked to 250,000 coronavirus cases More than 400,000 people are thought to have attended this year's Sturgis Motorcycle Rally over the course of 10 days
  166. Daniel Duffy

    Do you guys not want to make money?

    Sounds like good value.
  167. Daniel Duffy

    Do you guys not want to make money?

    Of course, but when I ask you to loan me a fiver until next week (I'm expecting a check from Australia) you go all quiet.
  168. Daniel Duffy

    Poker probability

    Just don't lose your shirt.
  169. Daniel Duffy

    What books are you currently reading?

    "Calling Bullsh*t" by Bergstrom and West Highly recommended. "Algebraic Topology" by Fulton
  170. Daniel Duffy

    The changing face of New York

    Do you mean Jackie Onassis?
  171. Daniel Duffy

    The changing face of New York

    I was working as a student in NYC in summer of 1972 (Watergate, Fischer vs Spassky) . One of my most pleasant memories was the AIR_CONDITIONED New York Library where I could prepare for exams. The city was badly run down (Central Station looked awful and Times Square was seedy), but thanks to...
  172. Daniel Duffy

    What should I add to Applied Math?

    What are the topics in Applied Maths?
  173. Daniel Duffy

    The changing face of New York

    That's very debatable, especially if you are used to European cuisine. Certainly, the most expensive restaurants in the world.
  174. Daniel Duffy

    C++ Advice

    QN C++ is based on many years or teaching in industry and academia, not to mention actually writing applications. Read the lectures few times and then jump into the all_so_important exercises.
  175. Daniel Duffy

    Taking a 'Data Structure' course from CS department worth?

    Data structures are language-independent. 20 years ago there no libraries. Things have moved on. A full course on data structures is not what would do in 2020. It is an STL module in Baruch Adv C++ coiurse.
  176. Daniel Duffy

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

    Here's the full video https://thalesians.com/videos/
  177. Daniel Duffy

    How to spend a gap year productively?

    Another great choice! QN/Baruch C++ It is a life skill.
  178. Daniel Duffy

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

    I have just coined a new term: (Programming) Language Silo In many cases, developers and quants' monolog interiors seem to be driven by their fascination/obsession with a single programming language (Sapir-Whorf again). This is caused by idiosyncratic views 1) efficiency, 2) elegance, 3)...
  179. Daniel Duffy

    How to spend a gap year productively?

    candidate c: "I was caretaker on Blasket Island" and I studied, ODE,PDE, SDE, FDM, ML and AI. https://www.irishexaminer.com/news/arid-30976640.html
  180. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    How many hours 'real' coding as percentage of the other activities?
  181. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    This may not be to everyone's taste. Whatever works for you. Thee are many ways to learn.
  182. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Quantnet/Baruch is unique: the dedication of TAs.
  183. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Anyone can write a book. That's the easy part. 60% of my time in a book/courses is exercises A-Z. Don't just read it; fight it! Ask your own question, look for your own examples, discover your own proofs. Is the hypothesis necessary? Is the converse true? What happens in the classical...
  184. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    Question: 1 hour a day but for how many days :-)
  185. Daniel Duffy

    Sams Teach yourself C++ (1 hr per day)

    What are the prerequisites? I reckon it is useful after you have learned the compiler and a bit of C.
  186. Daniel Duffy

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

    Here is the slide show corresponding to my talk tomorrow
  187. Daniel Duffy

    What classes should I take as an undergrad?

    Real and Functional Analysis are core skills.
  188. Daniel Duffy

    which is more useful in the real world? Python or C++...

    Rumour has it that Python is also written in C.
  189. Daniel Duffy

    Projects in C++

    I have a number of projects that might be useful. What's the goals etc.?
  190. Daniel Duffy

    How important are higher level math courses?

    Ah, OK. Over here in Europe we call it 'Algebra'. My school teacher was PhD and I Iearned group theory at 17. It does not have may applications in finance AFAIK.
  191. Daniel Duffy

    How important are higher level math courses?

    The maths you mention here cannot be learned alone.
  192. Daniel Duffy

    COMPARE CMU in New York vs UCB

    Olympiad == learning tricks?
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