Latest Resources in Numerical Methods

Numerical Methods

Python Programming And Numerical Methods: A Guide For Engineers And Scientists berkeley.edu

Published February 17, 2021 under Python

For the most part, this book follows the standard material taught at the University of California, Berkeley, in the class E7: Introduction to computer programming for scientists and engineers. This class is taken by most science and engineering freshmen in the College of Engineering, and by undergraduate students from other disciplines, including physics, biology, Earth, and cognitive sciences. The course was originally taught in Matlab, but with the recent trend of the data science movement at Berkeley, the Division of Data Sciences agreed on and supported the transform of this course into a Pythonoriented course to prepare students from different fields for further data science courses.

Scientific Computing in Python: Introduction to NumPy and Matplotlib sebastianraschka.com

Published October 1, 2020 under Data Science

Array programming with NumPy nature.com

Published September 20, 2020 under Python

Array programming provides a powerful, compact and expressive syntax for accessing, manipulating and operating on data in vectors, matrices and higher-dimensional arrays. NumPy is the primary array programming library for the Python language. It has an essential role in research analysis pipelines in fields as diverse as physics, chemistry, astronomy, geoscience, biology, psychology, materials science, engineering, finance and economics.

Accelerating Python for Exotic Option Pricing nvidia.com

Published April 3, 2020 under Quant Finance

In finance, computation efficiency can be directly converted to trading profits sometimes. Quants are facing the challenges of trading off research efficiency with computation efficiency. Using Python can produce succinct research codes, which improves research efficiency. However, vanilla Python code is known to be slow and not suitable for production. In this post, I explore how to use Python GPU libraries to achieve the state-of-the-art performance in the domain of exotic option pricing.

Quant Finance Numerical Methods in Jupyter Notebooks github.com

Published November 28, 2019 under Quant Finance

This is a collection of Jupyter notebooks based on different topics in the area of quantitative finance. Wow!

CVA in the Cloud with NAG nag.com

Published August 15, 2019 under Quant Finance

NAG has developed, in collaboration with Xi-FINTIQ, a CVA demonstration code to show how the NAG Library and NAG Algorithmic Differentiation (AD) tool dco/c++ combined with Origami – a Grid/Cloud Task Execution Framework available through NAG – can work together to solve large scale CVA computations.

Fast Implied Volatilities using Chebyshev Interpolation nag.com

Published July 13, 2019 under Quant Finance

Calculating Black-Scholes implied volatilities is a key part of financial modelling, and is not easy to do efficiently.

The benchmark in this field is the iterative method due to Peter Jaeckel (2015), though some banks have their own methods. NAG have teamed up with Dr Kathrin Glau and her colleagues from Queen Mary University of London to see whether their research in Chebyshev interpolation could be combined with NAG’s expertise in efficient computing to provide a faster way of obtaining implied volatilities.