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Re: Fast pricer for American options

  • To: mathgroup at smc.vnet.net
  • Subject: [mg110952] Re: Fast pricer for American options
  • From: "Jon Harrop" <usenet at ffconsultancy.com>
  • Date: Tue, 13 Jul 2010 05:28:04 -0400 (EDT)
  • References: <i199cf$q3i$1@smc.vnet.net> <i1e7qe$96p$1@smc.vnet.net>

"smangano" <smangano at into-technology.com> wrote in message 
news:i1e7qe$96p$1 at smc.vnet.net...
> On Jul 10, 4:01 am, "Jon Harrop" <use... at ffconsultancy.com> wrote:
>> Interesting comparison of a finance-related function originally written 
>> i=
> n
>> Mathematica (taken from Sal Mangano's new book) rewritten in another
>> language:
>>
>> http://fsharpnews.blogspot.com/2010/07/f-vs-mathematica-fast-pricer-f...
>>
>> --
>> Dr Jon Harrop, Flying Frog Consultancy Ltd.http://www.ffconsultancy.com
>
> Some people on the group probably remember that Harrop is the guy who
> shows up now and then to boast how much better F# is than Mathematica

Given that you previously expressed disbelief about my statement that 
Mathematica is often orders of magnitude slower than compiled languages, 
what do you now make of the fact that the "performance critical" Mathematica 
code from your own book is 960x slower than F#? Do you not think that is a 
significant performance discrepancy in the context of a "performance 
critical" problem? One that might warrant the use of MathLink, for example?

> There are numerous and very compelling reason to use Mathematica that have
> nothing to do with speed.

Not in the context of this example from your book.

Cheers,
Jon.



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