Daniel Duffy

Daniel Duffy

Founder, Datasim Education BV

Daniel J. Duffy started the company Datasim in 1987 to promote C++ as a new object-oriented language for developing applications in the roles of developer, architect and requirements analyst to help clients design and analyse software systems for Computer Aided Design (CAD), process control and hardware-software systems, logistics, holography (optical technology) and computational finance. He used a combination of top-down functional decomposition and bottom-up object-oriented programming techniques to create stable and extendible applications (for a discussion, see Duffy 2004 where we have grouped applications into domain categories). Previous to Datasim he worked on engineering applications in oil and gas and semiconductor industries using a range of numerical methods (for example, the finite element method (FEM)) on mainframe and mini-computers.

Daniel Duffy has BA (Mod), MSc and PhD degrees in pure, applied and numerical mathematics from Trinity College, Dublin. He has been active in promoting partial differential equation (PDE) and finite difference methods (FDM) for applications in computational finance and was responsible for the introduction of the Fractional Step (Soviet Splitting) method and the Alternating Direction Explicit (ADE) method in computational finance. He is also the originator of the exponential fitting method for time-dependent partial differential equations.

He is also the originator of two very popular C++ online courses (both C++03 and C++11/14) on www.quantnet.com in cooperation with Quantnet LLC and Baruch College (CUNY), NYC. He also trains developers and designers around the world.

Advanced Finite Difference Method (FDM) for Computational Finance
Presented by Daniel Duffy
An in-depth introduction from PDE model specification through efficient and accurate finite difference schemes for a range of one-factor and two-factor option pricing problems

C# for Financial Markets cover image

C# for Financial Markets
‎ Wiley

A practice-oriented guide to using C# to design and program pricing and trading models.

Financial Instrument Pricing Using C++ 2nd Ed. cover image

Financial Instrument Pricing Using C++ 2nd Ed.

This complete guide to C++ and computational finance is a major extension to Daniel J. Duffy's 2004 edition.