Valid Sudoku - LeetCode

[Daniel Duffy]

2nd possibility: implement code based on my book

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

<p>This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners...

www.wiley.com

 

[Daniel Duffy]

3rd choice; get same results as in this excellent thesis

 

[Daniel Duffy]

Another 2 projects

Blogs - MSc Theses on Machine Learning and Computational Finance 2019 :: Datasim

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

www.datasim.nl

 

[Shashank_Choudhary]

Here is a possible project

"Reproduce and/or improve the results in this thesis by doing it in C++20 (+ Python pybind11)"

V1: standard Heston
V2: rough Heston

Blogs - MSc Theses on Machine Learning and Computational Finance 2020 :: Datasim

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...

www.datasim.nl

Thank you , I will have a look

 

[Daniel Duffy]

Another focused project is Python<->C++ interop. Not many people know this IMO.

 

[Quasar Chunawala]

2nd possibility: implement code based on my book

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

<p>This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners...

www.wiley.com

Hi Daniel,
I had a question about your PDE(Numerics) book. From the TOC, I am familiar with some of the material covered in the first five chapters.

Would you recommend this as a companion book to Strauss/Rustom Choksi(Choksi, PDE) or can I think of using it as a primary text for learning PDEs too.

Regards,
Quasar

 

[Daniel Duffy]

Hi Daniel,
I had a question about your PDE(Numerics) book. From the TOC, I am familiar with some of the material covered in the first five chapters.

Would you recommend this as a companion book to Strauss/Rustom Choksi(Choksi, PDE) or can I think of using it as a primary text for learning PDEs too.

Regards,
Quasar

This book is too theoretical and long-winded for the current context. In a more math degree it would be OK but it too has prerequisites. No free lunch.

My objective was to have my book as self-contained as possible!!

Good practical books

https://www.fruugo.ie/schaums-outline-of-partial-differential-equations-by-paul-duchateaud-zachmann/p-39809501-81749763?language=en&ac=ProductCasterAPI&gclid=CjwKCAjwtIaVBhBkEiwAsr7-c3BjVLAc_pT4gphHoKRcMfZVQAM3g-HZlcfnzhfCTV3BadTqO8uPARoCPhEQAvD_BwE

 

[Daniel Duffy]

And BEST book ever for folk like your good self is KKOP .. get it ASAP

Amazon.co.uk

That's all your need.

You gotta know a bit of finance as well. It is for (aspiring) quants.

And program up the stuff .. staring at equations is not enough

 

[Quasar Chunawala]

And BEST book ever for folk like your good self is KKOP .. get it ASAP

Amazon.co.uk

That's all your need.

You gotta know a bit of finance as well. It is for (aspiring) quants.

And program up the stuff .. staring at equations is not enough

Thank you for both practical suggestions - and I am a big fan of KKOP, makes for a very nice methods course, very accessible. Will be in touch here.

 

[Daniel Duffy]

KKOP has the major ODEs/PDEs you need.