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

PLEASE NOTE THAT THIS WEBINAR WILL START ON WEDNESDAY, 5 AUGUST, 2020, AT 6:30 PM BST (LONDON TIME) (1.30 PM EDT (NEW YORK TIME))

TITLE: Some Perspectives on Computational Finance and Machine Learning

ABSTRACT:

In this talk I would like to discuss some of my new and ongoing work in computational finance, machine learning and multi-language design in C++ and Python. The talk is broken down into three related topics:

1. Defining the problem, for example analytic and PDE models (e.g. (rough) Heston.)
2. Pricing models based on modern/new finite difference methods and artificial neural networks (ANNs).
3. Creating flexible software frameworks in C++ and Python that implement the algorithms from activity 2.

The advantage of this approach is that we can customise models, design frameworks and even programming languages to suit different kinds of requirements and applications. Some specific subjects covered are:

• Improved and new PDE models in computational finance (as will be published in my forthcoming PDE/FDM book (Wiley 2021)).
• Six ways to compute option sensitivities; which one to use in a given context?
• Creating and using training data in a combined FDM/ML application.
• How to design multi-paradigm (procedural, object-oriented, functional) software frameworks (as in Duffy 2018). Example: rough Heston model.
• C++ and Python interoperability; pybind11.

Some related results that describe new developments in PDE and ML (including a defined process for software design) can found below and can be browsed before my talk (as a possible background for the Q&A session):

https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance

www.datasim.nl

D. J. Duffy 2018 Financial Instrument Pricing using C++ (second edition), John Wiley and Sons Chichester UK.

BIOGRAPHY

Daniel J. Duffy is mathematician, software designer, trainer and mentor. He has been working since 1988 with C++ and its applications to computational finance, process-control, Computer-Aided Design (CAD) and holography (optical technology). His company Datasim was the first to promote C++ and object-oriented technology in the Netherlands. In the period from 1979 to 1987 he worked on a range of scientific, oil/gas and engineering applications in FORTRAN using supercomputers, mainframes and minicomputers. He has trained thousands of practitioners and MSc/MFE degree students in the areas of requirements analysis, design, programming and advanced applied and numerical mathematics as well as being MSc supervisor for several top US and UK universities. He is the originator of two very popular C++ courses in cooperation with www.quantnet.com and Baruch College NYC and is the author of ten books on mathematics, software design, C++ and C#. Some testimonials can be found on www.datasim.nl

Daniel J. Duffy has BA (Mod), MSc and PhD degrees from University of Dublin (Trinity College), all in mathematics. He does judo as a means of relaxation.