Blogs

Python

Demo video Distance Learning Applied Numerical Methods with Python and Python Libraries

 

PDE, FDM and Machine Learning

MSc Theses on Machine Learning and Computational Finance 2019

MSc Theses at University of Birmingham 2019 MSc Mathematical Finance Programme Supervisor: Dr. Daniel J. Duffy, dduffy@datasim.nl Course Director: Dr. Colin Rowat,[..]

Covid-19 Reports

Analysis of Covid-19 Mathematical and Software Models

This report  undertakes a critical examination of the by now well-discussed open-source software based on an epidemiological model from a team from Imperial College London led by Dr. Neil[..]

Boiler

Boiler Design Blueprints

    Boiler Design Blueprints

Boiler

MSc Theses on Machine Learning and Computational Finance 2020

MSc Thesis “The Performance of Artificial Neural Networks on Rough Heston Model” By Chun Kiat Ong, University of Birmingham U.K. 2020 Supervisor: Dr. Daniel J. Duffy, Datasim[..]

Resources

Resources

  Global Overview C++17/C++20 by Daniel J. Duffy PDE and FDM in Computational Finance 25 August 2021 by Daniel J Duffy

Financial Instrument Pricing using C++, 2nd. Edition

Getting the source code of the book

Getting the source code of the book

HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source[..]

Financial Applications

Software Interoperability: Using QuantLib C++ Library in C# and Excel

This technical paper, which was published in Wilmott September magazine, is the second in a series of two on the design of software systems in computational finance. We created multi-language[..]

C++ "developments"

How many Ways are there to compute Derivatives of a Function?

The computation of derivatives and gradients of scalar and vector-valued functions is a pervasive and ongoing activity in many areas of computational finance, optimisation, engineering and Machine[..]

Python

New Hands-on Online Course: Python

Originator and coach: Dr. Daniel J. Duffy, Datasim Please contact dduffy@datasim.nl   We are very pleased to announce a new online course (to commence 1 October 2019): Distance[..]

C++ "developments"

C++11, C++14 and C++17

C++11, C++14 and C++17. Design patterns, parallel programming and applications.

C#

Blog

Modern object-oriented and generic programming and design in the .NET Framework. Software Architecture and Design.

Financial Instrument Pricing using C++, 2nd. Edition

Summary

Summary

This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational[..]

Financial Instrument Pricing using C++, 2nd. Edition

Exercises

Exercises

Exercise 1 STL Algorithms Exercise 2 C++ Classes Exercise 3 Smart Pointers Exercise 4 Type Traits Exercise 5 C++ Multitasking Exercise 6 Data Types

Financial Instrument Pricing using C++, 2nd. Edition

Code updates

A code update

  TestComplexStep

Financial Instrument Pricing using C++, 2nd. Edition

Discussion

Financial Instrument Pricing using C++, 2nd. Edition

Sample chapter

Sample chapter

Chapter 1 A Tour of C++ and Environs

Financial Instrument Pricing using C++, 2nd. Edition

Related Links

Financial Instrument Pricing using C++, 2nd. Edition

Quizzes

Quiz

Quiz 1 Advanced Language Features Quiz 2 Lambda Functions Quiz 3 Smart Pointers Quiz 4 Tuple Quiz 5 Type Traits, Template Template Parameters and Policies Quiz 6 Data[..]

Computational finance

Computational Finance

For quant developers and analysts. Partial differential equations (PDE), Finite Difference (FDM) and numerical methods