Recent content by Daniel Duffy

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Write option solvers, hedging etc, using Pytthon odeint, Ad etc.

Actually, Mike you did a whole lot of work in those courses! I was very pleased with the effort. Normally, doing a critical subset of a course is enough for a certificate. e.g ODE/PDE has parts A-H for UCB, parts A,B,F,G for the certificate.

ABSOLUTELY!

"We already use C++26’s std::execution in production for an entire asset class, and as the foundation of our new messaging infrastructure," OK https://en.cppreference.com/w/cpp/execution.html More details? Threre is always a time delay between when software prototypes and production versions...

If C++26 is the answer, what is the question? Sounds like marketing/future ware? I need convincing. What do I know? haha Might be a bit harsh: the link sounds also like an advertorial..

I am sure Numericals are a core step in the computational finance pipeline. Problem (e.g. Black Scholes, HW, XVA,...} -> {PDE, ODE, SDE} -> Numerics -> Software Design -> {C++, Python, C#}.

I am pretty sure there are overlaps. I reckon my courses are more detailed and industry-focused. I've been around longer. 😁

Maybe Applied Numerics instead of Number Theory, the latter being a bit too far from quant work. my 2 cents.

📢 Fast matrix computation is not rocket science any more. What's the meat?

Hard to say; how much real OOP in the course? It looks very STL focused. But I can only see "bullet" sections.. "the" means QN Adv C++ course?

What's your current C++ level?

One issue worth noting is that there are two main strands associated with matrices 1. Pure maths linear analysis/algebra ... paper models. Kind of academic-only focus. 2. Numerical linear algebra .. algorithms and getting stuff into the computer. And knowing what, why and how. numpy/scipy...

That syllabus could be more ambitious. imho No one really does determinants any more .. the advent of the digital computer put them out of business.

https://www.datasim.nl/application/files/5915/4999/4170/DL_Applied_Numerical_Methods_II.pdf https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods