SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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MTorrejon
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Posts: 6
Joined: April 21st, 2016, 2:11 pm

Julia in finance

November 7th, 2018, 4:27 pm

Hi all
What do you think about this new programming language in quantitative finance particularly in classical quant finance i.e. derivatives pricing. Pros and cons vs C++/Python or other software as matlab. It is worth studying it?
thanks 
Miguel
Last edited by MTorrejon on November 9th, 2018, 5:52 pm, edited 1 time in total.
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
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Re: Julia in finance

November 8th, 2018, 1:22 pm

What's v++?

Why Julia in your opinion? The next great wave?

Here is another exotic(?) language
viewtopic.php?f=10&t=101226
 
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katastrofa
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Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Julia in finance

November 8th, 2018, 4:57 pm

It's a bug in C++, Cuchulainn ;-)
"C/C++" was already disturbing, but "C++/Python" is wicked...

I'm also curious if Julia is popular in finance. I looked into it briefly, but it seems in my case making use of its potential would require too much RAM.
 
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FaridMoussaoui
Posts: 231
Joined: June 20th, 2008, 10:05 am

Re: Julia in finance

November 8th, 2018, 6:30 pm

Have a look here: https://juliacomputing.com and specifically: https://juliacomputing.com/domains/finance.html

There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/
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