K|Quant.com

By clicking on the links on the left hand side you can access the referenced web-sites. A new browser window will open with the selected site. Please let me know of any broken links or outdated descriptions.

QuantLib	An open-source C++ library for quantitative finance. The library includes implementations of various approaches to solving common pricing problems. The structure of the library is quite flexible and makes it easy to experiment with the effectiveness of the different approaches for the same problem. For example, it is easy to change the random number generator, use finite differences instead of monte carlo methods, and so on. QuantLib is a good start for aspiring quants as well as academics and it is reportedly even used in the industry.
Financial Recipes	Another open-source collection of C++ routines of common algorithms in finance. The nice thing about this site is that the text is structured in the form of a book, explaining the mathematics behind the code. Both of these libraries are educational.
ACM	Association for Computing Machinery. This is the group behind the Turing Award. The ACM Research Library is a great place to read research papers and keep up to speed with the latest developments in computer science. You can also join one of the interest groups to get involved hands-on. There is a small fee to join the group.
CiteSeer	Free Scientific Literature Digital Library. One of my favorite activities is to browse through the latest academic papers to find an idea, algorithm, or project that may be applicable to one of my interests. CiteSeer is one of the first places to search for these gems.
Mathematica	Excellent program for interactive, computer-assisted mathematics. Its built-in symbolic computational engine makes it possible to quickly find exact solutions or accurate numerical solutions to very challenging problems. The extensive graphing capabilities make Mathematica an invaluable tool for visualizing equations and illustrating your publications.
Kx	Kx Systems are the people behind the K vector programming language and the high-performance KDB time series database. K is a special-purpose language that is used by quantitative groups at several banks for rapid development of compact and fast solutions to everyday finance problems. To the uninitiated, K can easily look like line noise. But this feeling quickly dissipates once the full benefits are realized.
A+	A+ is the predecessor of K. The language is APL-like and was developed by Arthur Whitney at Morgan Stanley, where it is still used today by some groups. The A+ source code is now publicly available.
GNU Directory	The GNU free software directory is a list of many very popular GNU projects, including the g++ compiler, the bc calculator, and so on. Before you write anything from scratch make sure you don't reinvent the wheel. While you're at it, also check out Cygwin, a complete Linux command-line and X environment for your Windows workstation (find it here).
NEOS Server	A collection of links related to linear and non-linear optimization, including a tree of optimization methods and links to solvers and modeling languages, such as AMPL. One of the leading companies in this field is ILOG (see here), with its CPLEX solvers. ILOG also offers a rules engine based on the RETE algorithm, which treats rules as data instead of code and efficiently processes rules that are dependent on a common set of underlying data.
C++/CLI	By introducing C#, Microsoft would have liked C++ developers to make the switch to the managed .NET platform. This transition didn't go quite as smoothly as planned and many C++ developers felt annoyed at the second-class status they were given by Microsoft. In the new release of C++/CLI, Microsoft solves this issue and allows developers to access both managed and unmanaged code effectively from C++ by extending some language features. This article by Stanley Lippman discusses these changes.


Christos Papadimitriou	Professor of Theoretical Computer Science at UC Berkeley and former head of the CS department. Papadimitriou is brilliant and approachable. In fact, after publishing a paper together at Harvard, Bill Gates stated that he left academia after realizing that he could never be as brilliant as Papadimitriou. He is also an expert is conveying complex mathematical concepts in a very intuitive fashion. Papadimitriou has leveraged this talent as an author of several books, including Computational Complexity, Combinatorial Optimization, and Turing, A Novel about Computation (read my review here). I also had the great pleasure of doing research under his faculty supervision at UC Berkeley.
Manuel Blum	Turing Award-winning professor of Computer Science with an uncanny talent for reducing every problem in NP into the furniture moving problem. Very entertaining lecturer and well-respected in the field.
Alper Atamturk	Professor of Industrial Engineering and Operations Research at UC Berkeley, with a focus on optimization problems. Atamturk was also an advisor to Market Engine Corporation, the company I co-founded (read more here). With his help, we developed some very innovative crossing algorithms for the purpose of internalizing order flow at large Wall Street firms.
Eric Brewer	Founder of Inktomi and professor of computer science at UC Berkeley. I took one of his software engineering classes right around the time when Inktomi was founded and a business class when Inktomi was already the largest search engine of its time. Nobody would have guessed that just a couple of years later he would arrive to school in a limousine. It is admirable that Brewer still works as a professor today -- and a good one at that -- despite his well-deserved fortune.
Donald Knuth	Very famous computer science professor at Stanford University. Probably best known for his three volume work The Art of Computer Programming but also the author of the frequently used TeX word processor for scientific publications, as well as countless other books and papers. Great contributor to this evolving field.
Rajeev Motwani	Professor of computer science at Stanford University and author of Randomized Algorithms, one of my favorite CS books (listed here).
Bjarne Stroustrup	Designer and original implementer of the C++ programming language. Stroustrup is a Cambridge PhD and he is presently employed as a researcher at the AT&T Labs. He is also the author of The C++ Programming Language, which is considered an essential text by many (although I prefer other books on the subject).
Drew Roselli	Berkeley PhD in Computer Science and Chief Architect at Market Engine. Very smart and articulate woman. When customers asked if our advanced server clustering software would also run on Windows machines, Drew would say "We do tolerate failures but for this system to work, the nodes need to be up _some_ of the time." Needless to say that she is happily employed at Microsoft now.