Search results

All countries have this problems. Rule #1; DON"T outsource your COBOL code!!! NEVER

A friend of mine in Ireland works remotely on Cobol and JCL code in insurance. Python and Java are the front-ends. Cough, I was a certified COBOL programmer in 1981. Anyone remenber Y2K? (BTW my code used YYYY-MM-DD, not YY-MM-DD!) At the time they took the pensioners out of the homes and put...

C++ is a great foundation for other languages indeed. Good luck!

At moments like this we are reminded of the fact that COBOL is most important language in the world. https://www.theregister.co.uk/2020/04/05/new_jersey_seeks_cobol_volunteers/ COBOL-coding volunteers sought as creaking mainframes slow New Jersey's coronavirus response

Thinking out loud; a very good way to learn, use and apply mathematical skills is described in this excellent paperback https://en.wikipedia.org/wiki/How_to_Solve_It Is has 'handles' for solving maths problems and is a way of thinking about maths. Could be useful reading for those with an...

You're welcome, Ken. At this stage some brash marketing :) to show off my online ODE/PDE course https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations It's my 2 cents to bridge the gap. Students take it as preparation for MFE/MSc...

I think it's easier to teach stats to PDE people than it is to teach PDEs to stat people. Each discipline has its own ways of working and skill sets, A more friendly way to teach PDEs is to start with ODEs and focus on building analysis skills around them. For ODE we have A) dV/dt initial...

ODE/PDE, linear algebra and numerical methods. And C++.

Go for it :)

Do they do the maths? Imperial College and Oxfod both claim to have models but can't/won't publish them. Still, I think Wallace might be right.

What other sources have you tried..? QN is a financial forum.

Related to this; some of us are working on several mathematical/finance related models https://forum.wilmott.com/viewtopic.php?f=34&t=102255&p=856216#p856216

Apologies for my brusque answer. It is important to keep the definitions clean. I know Python has buckets of stuff and is free. (check out numpy, scipy). Here's a nice ODE intro + Python. https://hep1.phys.ntu.edu.tw/~kfjack/lecture/python/2016/11/lecture-11.pdf As we speak I have just...

It's 'divided differences'. Finite difference is different and talking about coefficients is nonsense in that case. Have you checked numpy, scipy https://docs.scipy.org/doc/numpy/reference/generated/numpy.diff.html These techniques are highly unstable and ill-posed in general. Better not to...

Yes! I use solely C++ for my maths work. Go for it. Last but not least, it's got to be said that TA is top notch (see testimonials). Actually, learning to read, understand and resolve compiler/linker errors is essential. C++ is not R or Python in this regard...

Good luck! Learning syntax is like learning how to breakfall in judo. Maybe take a different approach to confronting syntax (there's a right way and a wrong way). I gave a course to 22 MFE students few weeks and they all had syntax problems.

Semi-colons are a way to tell the compiler when to stop and take a break. Comes with the territory. Have you read the last chapter of James Joyce's Ulysses? not a single comma or semi-colonial in sight. C++ is actually "Applied Chomsky" https://www.youtube.com/watch?v=IhC7sdYe-Jg

Go for it! It is 16 weeks and students have lots of time. QN C++ is a skill. I am the originator of this course and a numerical analyst. And C++ is super for maths!

Your post makes no sense.

I've gotten a lot of recommendations to pursue a PhD in some kind of physics. Astrophysics comes up a lot. I'm wondering if a PhD in pure math would make more sense for a quantitative role. Maybe, maybe not. Astrophysics and physics (not enough maths) sounds Cold War at this stage. "pure" maths...

Many people are not taking it seriously.

My ODE/PDE endorsed by UCB online course is taken by students going to UCB. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations There is student discount price. (dduffy@datasim.nl).

Basically UK is giving everyone a guaranteed minimum wage.

What's a 'refer'?

The model from Imperial College is a set of 7 coupled mildly nonlinear ordinary differential equations (ODEs) and it seems to be an extension of tbe 1927 SIR model of Kermack and McKendrick. https://arxiv.org/abs/2003.06967 The full model does not seem to public domain, so it is not possible...

Porting MVC++ 6.0 to C++11 is an impossibility. The whole application should be written from scratch.

yes, it's ancient, but updating it is a time-consuming project. On an off-topic: much of the Fortran cod embedded in Python libraries was written in the 1970s. Production systems create wrappers around legacy code. One client in offshore in Rotterdam still uses Microsoft VC++ 6.0 for their...

Netherlands; Lockdown until April 6. Ditto Republic of Ireland. Northern Ireland is following UK orders. Politics above health.

Before that 1) people thought tulip prices would keep going up, 2) dot com shares. Same old story. For the record, it was clear to me by 2006 that property crash was on its way out, big time. People getting rich by selling property to each other. aka 'irrational exuberance'.

Thank you. Feels like 4 courses rolled into one :cool:

The C function scanf is deprecated/not safe https://stackoverflow.com/questions/30577519/error-c4996-scanf-this-function-or-variable-may-be-unsafe-in-c-programming

Why the obsession with analytical closed-form solutions? No errors or approximation assumptions I suppose. But it can be an unhealthy obsession indeed (what if NO closed solution can be found???) Better to be approximately right than exactly wrong. Pure mathematicians tend to search for...

3. Most problems don't have an analytical solution, so numerical methods needed. Here is a detailed treatment of 6 methods to compute greeks for use in finance and Machine Learning. https://www.datasim.nl/application/files/5915/7045/5027/Matt_Robinson_Thesis_.pdf ML ->...

6% of what? fear of the unknown. In Netherlands 3000 people died from common flu in 2018. Some years it is 10,000. People are overreacting.

Some do, some don't.

What could be more colourful than C++?

Are there measurable/standardised criteria to determine the added value of a given online course? edit: and maybe subjective criteria.

Do you want to learn Python properly?

Seems it is better to wash your hands than wearing a face mask...?

Some of these links are broken. BTW is Scott Meyers still involved with C++?

Make sure that your Boost library version (VS2019, 64 bit library) etc. is compatible. You can just post questions with "precise error messages". BTW does QL support VS2019? etc.

Then you are doing something wrong. Piece of cake https://www.quantlib.org/install/vc10.shtml It's for VC2010 but that is not an issue.

Such as? . Actually, I mentioned it :-)

Nobody has mentioned Quantlib C++, which is open source.

They don't write well-researched books like this any more. R.G. Dromey How to Solve it by Computer Prentice-Hall 1982 It discusses how to write well-structured modular programs and deep discussions of algorithms and data structures and code in Pascal. For example, this is a good front-end to...

They don't write well-researched books like this any more. R.G. Dromey How to Solve it by Computer Prentice-Hall 1982 It discusses how to write well-structured modular programs and deep discussions of algorithms and data structures and code in Pascal. Most books (e.g. in Python) seem to...

The 2nd edition of my book has C++ code for purchasers. https://www.datasim.nl/blogs/13/summary https://www.datasim.nl/blogs/17/sample-chapter I have binomial, Monte Carlo, PDE/FDM and exact solutions.

This post looks like a multiple choice questionnaire.

Hi, I work for Datasim and am the originator of the Quatnet/Baruch courses. dduffy@datsim.nl Pleased to answer your further queries.

Companies like to make their own models and use open source libraries as "second opinion".

Sure, its like when the Quantnet C++ course made us write our own implementation of resizable arrays in the exercises. It was challenging and gave a glimpse of how its implemented in real world without getting into the weeds with amortization analysis etc. But we all use the std::vector object...

Writing a library with bells and whistles takes knowledge and experience. On the other hand, I think it is useful if you can code up simple algorithms to 1) double check others' work, 2) reverse engineer to a certain extent what is going on in ML libraries, 2)avoiding becoming deskilled, e.g...

Well said. In my case I am using stuff (e.g. PDE) that I learned, starting in 1972. And I now teach it to MSc/MFE students. Stochastics are important. No one can say if ML -as we know it Jim - will be around in 5 years time. AI has had a very checkered history..

Python is huge. BTW do you know Python?

But this is not any old C++ course but the QN/Baruch C++ course and is exciting and not scary at all, especially with all the great support from the QN team 😁

Good question. A given topic has a begin(), middle and end(), So new C++11 stuff needs to be motivated before jumping into code, for example chapter 3 on modelling functions is vital 1. What kinds of functions 2. Functional programming 3. FP in C++11, what, how, why, when 4. Examples For...

Thank you. One goal is to get the reader up to speed as quick as possible. In training sessions, it is similar to 20 minutes lecturing and then 30 minutes practice. This is the optimal mix imho.

Ooompfh 1168 pages, you guys really want to keep me unemployed My book is really several books in 1: 1168 pages??? It's only 1142 pages, what? 1. C++11 syntax A-Z without being a copy of the reference manual. Syntax alone + silly examples I am allergic to (sorry, I am not a CS). 2. New...

Anyone not a mathematician would tacitly assume Shape to be simply connected... Nothing got to do with maths, it's no insurance again not understand CAD and good design. And design patterns are great for CAD, esp. Factory, Composite, Bridge, Strategy and above all. VISITOR (multiple dispatch)...

Which PDE textbook was that, Onegin?

The demo! 1. GetPerimeter(), Area() do not belong in Shape ... not all shapes are closed 2. He did not delete the array of Shape* in main() See the C++ code from boost. Best in class. Wow, this thread is almost as lengthy as your book, took two years to develop it. But I agree - or, at...

What's CQF? The Institute?

This is a well-known discussion here. What about VM product? @APalley

A follow-on and related discussion on C++11 and using it in applications 1. Pareto rule: 20% of C++ syntax delivers 80% of its efficacy. 2. Some developers wax lyrical on super-cool syntax such as constexpr, too much emphasis on auto, generic lambdas. Determine why you want to use them and what...

The late Mark Joshi's C++ book with Design Patterns + basic examples in finance might be a good place to get some initial exposure. It dates from 2005 (same time as 1st edition of my own book), so much has changed.

@Daniel_Duffy too reports in the opening of paragraph 2.2.1 of his Financial Instrument Praising using C++ (2nd ed.) , that the main issue here is not as much about elegance, but more prosaically about dangling pointers and memory leaks caused by error-prone bookkeeping of 'raw' pointers. This...

I don't know myself. Why not both C++ and CFA? Some schools look for ODE/PDE.

Rust is a new and a particularly influential systems programming language taking on C++ and fixing its flaws C++ has no flaws, just features :) Rust is probably another 'quiche' language? It is mainstream? If anything, Julia looks very exciting for finance, but I have not used it...

I loved the C++ book "Thinking in C++" by Bruce Eckel. That's where I started end 80s. On a more general rant/note, most of the new fancy syntax is premature optimization (some CS developers do like it nonetheless) and it cannot be implemented in the short term. They try to optimize even...

Actually, C++17/C++20 is the current standard! BTW C++14 is essentially bug fixes for C++11. My main issue is the examples in Meyers' book .. everything is a vanilla Widget class which is not to everyone's taste. From there my somewhat nasty remark on syntax. Many application developers consult...

As you say in your first post, you are looking for advice. For agree... there are other sites.

Au contraire. The book comes with working code for each chapter. That saves you time!

You don't need money, just time and drive. Not Meyers for you. It's syntax only and outdated. This one does C++11 for Finance https://www.datasim.nl/blogs/13/summary https://quantnet.com/threads/blog-articles-on-c-11-and-computational-finance-by-daniel-j-duffy.32237/

Indeed. Writing code in a PhD environment is a million miles away from the same endeavours in Industry. An overhaul is needed IMO. Things have moved on. But that's only what I think. “A little learning is a dangerous thing. Drink deep, or taste not the Pierian Spring; There shallow draughts...

Where do you do C++ course?

Most of the Python libraries are user-friendly fancy wrappers for Fortran and C++ libraries, e.g. LAPACK, QUADPACK etc. etc. On a general note 1. Subtype inheritance has fallen out of fashion somewhat which means less pointers to base class. 2. C++11 has a new memory model...

I qualify my remarks on GOF is that they are very good but _not_ to implement them in style OOP C++98 style as is done in the GOF book. And many patterns are directly supported in C++11 and Boost. Don't throw the baby out with the bathwater.

Not the punctuation, but what you are trying to say is not clear to me. So, GOF == old hat? It's analogies I have difficulties with ... so many possible interpretations. (I applied GOF to many technical apps (CAD, Risk, Process) since 1992. Now I have developed multiparadigm OOP-GP-FP patterns).

Yes, Franco Brezzi was there. Nice, friendly man. The head of Analisi Numerica was the legendary Enrico Magenes. At the time I was researching FEM for 1st order hyperbolic systems of Friedrichs type. Regarding C++, your approach _seems_ rather archaic and misunderstanding of what smart pointers...

For C++, Quantnet/Baruch are very popular. Gang of Four patterns are severely outdated and are a snapshot of C++ in 1992. Things have moved on. C++ 98 is also outdated in a sense. The Baruch courses are up to date. I like the numerical analysis background, it's not everyday you meet someone...

Maybe ask this question on the student forum as it might be snowed in here. @APalley @GONG CHEN

I find online code questions very silly. The best way is to have an interviewer who knows what programming is. For C++, I reckon it takes 10-15 minutes to test the interviewee. Rule #1; don't try to bluff your way through the tests.

Is your thesis public domain? I have a number of questions regarding McGhee's that I was unable to get an answer to.

Sure :) ML and computational finance is also a hot topic and could be a good source. Two very good theses here 1) ML for SABR, 2) computing option sensitivities. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance

Machine Learning (ML) in finance is becoming popular.

Visual Studio on Windows is great. Many people use it. Big user base to help with support etc.

Hard one to answer. There are so many factors, not the least of which is if you really like C++ and are good at it. Knowing Python can be a disadvantage, really. It is much sloppier syntax than C++. You can get into bad habits. Two types of people: those who like C++ and them that don't.

I have no idea what is good for you. My remark was how you correlated STEM and being outgoing. Why not stick with STEM? Is it the money?

Jan 15 2020?? No way. Give yourself 16 weeks. @APalley @GONG CHEN

Time will tell. A new, disruptive technology could change that.

I see AI (and is very fuzzy and it's very early days IMHO) as an application area based on more fundamentals skill such as (numerical) mathematics, statistics and certain areas of computer science. Once you know these then I reckon life becomes easier. It is not necessary to have a PhD to do...

Sadly, Mark Joshi passed away a few years ago. https://fbe.unimelb.edu.au/newsroom/obituary-for-professor-mark-joshi MJ had contacts with Quantlib, so maybe inquire there. Found this http://www.maths.usyd.edu.au/u/UG/SM/MATH3075/r/Joshi_2008.pdf

Is it possible to go from BA to Phd and 'skipping' MSc? Are you good in 'researching' on your own?

In spite of having a heavy STEM background, I'm pretty decent with people and I'm a strong communicator That's a cliché. The two are uncorrelated IMO. Richard Feynman and John von Neumann.

Why are they doing this? My guess: A Law of Software 'Gravity' is that maintainability (costs) takes the upper hand as a software product evolves and mature.s It can be an asset or a liability.

Smale is a Fields medallist and Wolf prize recipient.

What's grammatically wrong in the title?

Boost C++ Histogram library. https://www.boost.org/doc/libs/1_72_0/libs/histogram/doc/html/index.html This library provides a histogram for multi-dimensional data. In the multi-dimensional case, the input consist of tuples of values which belong together and describing different...

Can you give an example of a 'verbal puzzle', please? IMHO your success in life is not determined solely by 'puzzles' :) Still, I suppose puzzles must be learned.

Some on the board of directors, because of this, were lobbying to remove Watson as IBM's President. He needed these inventories sold. A very large government bid, approaching a million dollars, was on the table. The IBM Corporation—no, Thomas J. Watson Sr.—needed every deal. Unfortunately, the...

Good luck! The C++ syntax etc. takes a bit of getting used to. So, if you get stuck really, take a break and /or ask the TAs. Training/study blocks of 2 hours is not a bad strategy.

Here are the maths Boost guys. In the past I found John Maddock was friendly and I know Thijs vd Bergh who does quant and ML. Maybe have another go? Disclaimier: I don't know the inner workings of how Boost is organized.. Having a header-only public AAD library would be good...

Thanks for the feedback, Anttoine Found a good definition from risk.net Adjoint algorithmic differentiation is a mathematical technique used to significantly speed up the calculation of sensitivities of derivatives prices to underlying factors, called Greeks. It is widely used in the risk...

I googled "AAD" and it did not give any hits. My feeling is AD has been promoted to emphasise the adjoint (reverse) aspects of the 2 modes of AD. I am confused by the rationale. Making up new names confuses people no end (it's rampant in ML, those guys make up names for things that already...

Small remark on grammar: The singular of 'alumni' is 'alumnus' https://en.wikipedia.org/wiki/Alumnus In accordance with the rules of grammar governing the inflexion of nouns in the Romance languages, the masculine plural alumni is correctly used for groups composed of both sexes: the alumni...

Boost C++ library has autodiff for AD as well (header-only). https://www.boost.org/doc/libs/master/libs/math/doc/html/math_toolkit/autodiff.html

Antoine, You might be interested in two excellent theses on ML and finance that discusses a number of related methods. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance

Graduation day! Congratulations, Dalvir Singh Mandara https://www.linkedin.com/feed/update/urn:li:activity:6610872313523113984/

C++ 2020 Concepts, finally Concepts are an extension to the templates feature provided by the C++ programming language.[...] concepts are named Boolean predicates on template parameters, evaluated at compile time. A concept may be associated with a template (class template, function template...

6. MSc Mathematics (Applied, Numerical). Physics is fine if you want to do physics but it is not maths. 'Numerate' is very general.

VBA is getting a bit old.

You're welcome,prego. I think so. You could contact UCB and ask as well. You can send me email too if you like. Some students of this course write here https://www.datasim.nl/testimonials

ODE/PDE and FDM courses are endorsed by UCB. These courses are focused on finance. https://www.datasim.nl/onlinecourses

ODE/PDE

These days I would assume that theses would have a mix of finance, (numerical) maths and programming (ideally C++). Models on paper never crash, but the point is that they run in a computer?

I think you'll be fine; great support from the TAs here and great interaction with the other students. Good luck.

I suppose you want me to throw in a tumble dryer as well?

Do you mean specifically which machine learning algorithm/paradigm is being employed? Yes, BPN, SGD, momentum, LSTM, etc. More generally, the design blueprint/top level data flow diagram. Do organizations do white papers these days so that you can see what the product is/does? Other...

A number of my online hands-on + support courses (FDM, ODE/PDE, numerical methods) are recommended by UCB to new MFE students. Students discount. You can contact me directly. https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials

Excel is still a standard. Traders use Excel a lot. Anyways, I built the ExcelDriver in C++ and C# to display FDM output. It's cool.

It seems Microsoft has changed some code in their API: https://social.msdn.microsoft.com/Forums/office/en-US/7f26c4ea-d2db-486d-a1cd-5f3dc1a4ec35/excel-2010-c-integration-changes-in-put-methods?forum=exceldev For those students taking QN C++ course it might be worth keeping this in mind (my...

The only way is up. But I'm not sure if it can be used to predict the future.

Data Science is a kind of applied linear algebra. Put crudely, it's more or less matrix manipulation. Not necessarily bad. PDE demands more mathematical maturity, It demands a certain background.

The button or the laptop? :-)

Welcome to Quantnet. BTW do you like metal: Finntroll,. Wintersun, Lordi(?)

All software projects are risky. In your case I think you have more questions than answers and I see it as a high-risk undertaking. I suspect also that other competitorts are several years ahead. Out of curiosity, what is the expertise of your team? CS, maths, phyiscs, web design. Lao was...

I highly recommend that you study this (HOW COMPILER WORKS) https://www.youtube.com/watch?v=QXjU9qTsYCc

Facebook and Microsoft join up with Visual Studio https://developers.facebook.com/blog/post/2019/11/19/facebook-microsoft-partnering-remote-development/ For example, when it comes to code, Facebook is a polyglot. Code is written in Python, C++, Java and in some of our own created languages...

Got it. I see that Rockstart is based in Amsterdam and seems to be associated with Tilburg and Eindhoven. Just so happens I have lived in Amsterdam/NL for years and years. So, your setup is a campus company.. You need a) a product and b) good marketing IMHO. My 2 cents, My first impression is...

Thanks, Aber I probably have a developed a nose for bluffers down the years. I show no mercy. And this one is full of it. I want to thank Daniel Duffy for making the excellent thesis report available here. While I am neither quant nor AI expert I do have both math and computer science degrees...

:devil:

Neural network consists of input layer, hidden layers and output layer. No kidding.Hey

What I think? I am not impressed. It's bla bla and hot air. Give it up, you are wasting our time. What is the precise algorithm? Have a look at this report https://www.datasim.nl/application/files/8115/7045/4929/1423101.pdf

This is real drivel. Write up or shut up.

A crucial 'tool' in your ODE vocabulary is this https://en.wikipedia.org/wiki/Picard%E2%80%93Lindel%C3%B6f_theorem

And Lie Groups Lie groups was to model the continuous symmetries of differential equations, in much the same way that finite groups are used in Galois theory to model the discrete symmetries of algebraic equations. https://en.wikipedia.org/wiki/Lie_group

They are human! Maybe analysis vs algebra (start wiki Wiki). My 2 cents: algebra doesn't do continuity, just discrete data types.

I used this book in 1st year. It's great https://www.amazon.com/Vector-Spaces-Dimension-University-Mathematical/dp/0050013580

Better than the Rudins, no doubt.. BTW Axler does dedicate his book to Paul Halmos. Don't know if Iike the photos and insets (me old skule) in Axler's book. For Functional Analysis (Banach etc.) maybe this readable book is better than the few chapters in Axler...

Step 1 reduce scope take dy/dt + ay = 0 for starters. Then generalise BTW the statement of Q19 is a bit ambiguous.. A 1st order linear ODE has an analytic solution see page 97, eq. 3-20. Maybe that helps. https://en.wikipedia.org/wiki/Integrating_factor

Halmos, Measure Theory is excellent, but not for the faint-heated.

Bjarne Stroustrup interview on C++

Regarding ODE, Brauer and Nohel is quite good. At some stage numerical ODE is a must. KKOP is a great book. Every MFE student should have a copy. Axler look great and modern but might be a bridge too far just now, possibly.

Section 5 in this paper discusses how PDEs for computational finance developed down the last years. ADE and Soviet Splitting were first introduced in finance in 2001 and 2009, respectively by yours truly.

Now that you mention PDEs, let's try to put them into context: // PDEs are mostly for pricing libraries in C++. I suppose an area traditionally associated with rocket scientists. Depends on the department I suppose. Maybe Crank Nicolson...

16 weeks flies, think of it as 4 months. It took me 30 years to learn C++!

Sadly, Dr. Fabrice Rouah passed away a few years ago.

Sounds good, And in C++?

"Scientific Computation" sounds like a fancy name for (applied) Numerical Analysis as I present here https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods

Yes, please be very technical. Less waffle. Gracias.

"I am working on product very seriously so I'd appreciate if can find significant flaws in our technology. " I would not know where to look for your product... throw us a few crumbs 🙃

I'll bite Sounds too good to be true; AI is a buzz word. BTW are you trading in equities or fixed income? Your turn.

yeah, just saw that. I'm shocked.:mad:

That's a bit of a pain. One is that we end up discussing different compiler implementations which distracts from core issues. I saw this https://docs.microsoft.com/en-us/visualstudio/mac/installation?view=vsmac-2019 but I suspect it's just the IDE? (?) I wonder (rant) why people use mac in...

Question: Someone told me that Mac machines don't support VS2019 C++. AFAIR it does. Has something changed?

I'm thinking if doing a PhD part time is beneficial for my career, my 2 cents.. Very difficult. The career aspect is not strong enough motivator when the going gets rough. Part-time PhD probably means never PhdD. Horizon is too long. 5. ML? it will take 2-3 years to get up to speed, let...

At some stage software systems need to be maintained. Up-front functional decomposition is very good. This is the technique used in Baruch Advanced C++ course. The technique is language-independent.

So, one can put functions and so on in modules which is good practice. System decomposition into independent and loosely coupled modules is recommended before jumping head first into coding marathons. For example: if we want to overload range() we can put the code in a separate module and then...

I am browsing some 1-liners from Zen of Python Namespaces are one honking great idea -- let's do more of those! I agree 100%. However, is it used a lot? There should be one—and preferably only one—obvious way to do it. I don't agree, not at all. The software world is too complex for such a...

CAD is a long way from computational finance.

Due diligence, thus. BTW I always get a tummy pain every time I see the word 'Hitchhiker'. I suppose the real issue in this case for me is that Python uses duck typing. OK.

Scary. It means we have to be extra vigilant with larger system and functions. In the early days of C++ libraries had names like ACMECompanyRange(). So, Python won't help and it is the developers' job to watch out.

Unfortunate that range() is not in a clear namespace..

Even more interesting I accidentally had a range() function and this is the one that resample() sees. Ouch Very bad. def range(i): print ("range") return 1/0

Even this doesn't compile (BTW I am trying to break the compiler). I am accidentally or deliberately overriding what is in essence an (undocumented) Python keyword 'range'. range = 12 range1 = pd.date_range('2000-01-01', periods=12, freq='T') ts = pd.Series(range(12), index=range1)

'range' is ambiguous. The issue can be resolved if we could put the function range() in a namespace (like std::range()), which is better programming practice. But I don't know if this I possible. Plan B: call it range1 and be done with it. Fair enough.

Google Single Responsibility Principle.

Nice stuff, Quasar. Some ideas 1. std:;array<> is fixed/limited, use std::vector 2. The if-else C/P test should be at main() level, not embedded in CRR etc. (AFAIR I mentioned this already somewhere down the tracks?) 3. Payoff() should be a global function (pointer) 4. loops, use std::size_...

Is this a bug in Python? (in fairness, using 'range' in 3 different ways is real bad programming style) import pandas as pd from pandas import datetime, period_range #compiles #myRange = pd.period_range('2000-01-01', periods=12, freq='T') #ts = pd.Series(range(12), index=myRange) #NOT...

Pure mathematics is a big area, not all of which is directly applicable to finance. These days you need to be comfortable with at least one real programming language.

I am not an interviewer but if I were I would about using Python optimally. Forgetting numpy, scipy etc. for the moment 1. Top 5 datastructures 2. Efficient loops, arrays, matrices 3. How to speed up algorithms 4.?

Thank you. The fact that we can do everything is 9 lectures is partly the result of continuous improvement since 1990 (thousands of course attendees, from industry and financial institutions as well).

UAT is the magic wand of AI. https://pdfs.semanticscholar.org/05ce/b32839c26c8d2cb38d5529cf7720a68c3fab.pdf It is based around measure theory which is not precise enough, mathematically (in the function approximation sense). In practice it seems to work until you use gradient descent.

'quantnologist'?

Thank you, Lynette These were the students who really wanted to work me. They want to work hard, I keep them fit and I do it with a smile :) And all the honour goes to the students! // JohnLeM, Thanks. Glad you enjoyed it.The thesis was a joy to me as well. There's a real story in there with a...

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...

That approach also gets you to Carnegie Hall!

No Python without C?

And at the end of the day, it is the 20% of C++ in combination with develop design savvy that makes the difference.

"which is more useful in the real world? Python or C++..." Of course, looking back, the question itself is wrong. Too binary.

yes, I used Random indeed and it was faster. Contrary to the Zen of Python, there are multiple solution to a given problem.. There should be one-- and preferably only one --obvious way to do it. Although that way may not be obvious at first unless you're Dutch.

I suppose each organization supports its code base in a given version of C++. Then you can have a policy to upgrade to next version of C++. Admin and technical organizational issues, C++11 is a huge release; C++14 is a fix IMO, C++17 is stuff that Boost had for years and haven't looked at C++20...

C++? C++11, 14, 17, 20?

C++ people might base it on https://en.cppreference.com/w/cpp/header/algorithm

But then you have to extract it! You are thinking of alchemy? :-)Seriously, I reckon it can be very mathematical (group, ODE, PDE etc.) https://en.wikipedia.org/wiki/Mathematical_chemistry https://en.wikipedia.org/wiki/Reaction%E2%80%93diffusion_system

Ahududu, I have noticed that people with an Econometrics background focus on certain applications of (discrete) mathematics and not on others that are somewhat more quantitative/numeric/applied in nature. Some possible attention points off-hand: Continuous models (ODE, SDE, PDE) and their...

I will answer the first part of your question: C++ is a great skill to learn and it helps you become a good programmer (in this context Python and R are just (albeit useful) scripting tools. The best course around IMHO (I am the originator) is Quantnet/Baruch C++ courses...

Better late than never :) Hallo! @Andy Nguyen @APalley

Never too late to say hello :-)

Maybe this https://www.youtube.com/watch?v=cqGsi9k6ra0

Been also following Kaggle competitions on predicting housing prices/sales forecasts/stock prediction/risk analysis using regression methods which is all very interesting. Any good forecasts for house prices? Don't think Kaggle is needed for that one. TBH, regression you can learn in a few days.

Sure. https://quantnet.com/courses/ If you have queries, don't hesitate to gjve a ring?

A good and probably most effective approach are the Quantnet/Baruch C++ courses on offer here (disclaimer: I am the originator).

A person who knows little bit of maths, programming, finance, statistics, general interest in the economy. A better question is the other way around; for domain such as XYZ what technical skills do you need. Specialise.

Thanks. And now the inevitable question 😍 What's the story with GPA, GRE, aka compelling reason, added advantage, why?

Prediction is difficult, especially predicting the future. If you claim something, then it should by backed up by examples and not wishful thinking. What do I know. I have yet to see a convincing example of Machine Learning replacing PDE models. Regulators need to be convinced, especially with...

I have no idea. I come from the border region between Northern Ireland and the Republic and even there it is not clear. Basically, Boris and Co.. have no plan. He's playing it as he goes along. I live in NL and many Brits are applying for Dutch passports. It's a mess. Caveat: I am not an...

Have you information about residency permits etc. etc. for EU citizens?? Only a few years ago a "hostile environment" was official policy. Many EU citizens are leaving UK.

Stupid question: what's GPA and GRE?

Sounds good. A good hint is to focus on generic programming (templates), correct design and initial encounters with Monte Carlo and PDE applications. Caveat: not too deep inheritance hierarchies, they become unmaintainanble super-fast.