PRNG, QMC, simulation & optimization:
- Makoto Matsumoto
- Pierre L'Ecuyer and SSJ
- Art Owen
- Stephen Joe
- Luc Devroye
- Peter Zinterhof
- Athanassios Avramidis
- E. Atanassov
- SPRNG
- The famous Marsaglia's Ziqqurat
- Some PRNG tests
- Paskov & Traub's QMC patent
- NIST RNG
- HotBits radioactive RNG server and Random.org server
- RNG 4 image processing at UCLA
- RMTool
- Colt library
- At X9 and ANSI the crypto X9.82 standard
- ACM SigSim
- WSC
- Optimizers benchmarks
- Stephen Boyd
- Akadi Nemirovski
- Ant Colony Optimization
- Stochastic Programming papers - Berlin
- Taarivanen - American options
- Intro to stochastic programming
Various quants & resources:
- Hans Joerg Albrecher
- William F. Sharpe
- Zari Rachev
- Damiano Brigo
- Peter Jaeckel
- Marc Joshi
- Roger Lord
- Alan Lewis
- Liuren Wu
- Agnes Sulem
- Axel Vogt
- Michele Vandmaele - Asians & comonotonicity
- Magdon
- Fouque - SV & Pricing
- Emmanuel Gobet
- Surkov's Fourier option calculator
- Chuan-Hsiang Han - SV
- Premia, QuantLib, Rmetrics's fOptions, LOPOR, FinRecipes, QuantMod
- Option calculators list, like this one
- Quarc
- RiskLab
- MathFinance.de
- RiskNet.de
- GloriaMundi
- SmartQuant
- Finance Research
- Research at GS
- Quant Notes
- C(omp)++
- Fries book
- MC methods in finance - P. Glasserman
- Openvest
- Some papers on pricing
- NuclearPhynance, QuantCode & CQF
- Global Derivatives & forum, QuantNet
- TalkFinanceEngineering Yahoo group
- Greenvesting - An environmental finance blog
- Risk magazine, FinEng news
- Rowe's risky blog
- DefaultRisk
Asset pricing & SDEs:
- Peter Carr
- V. Todorov
- K. Chourdakis
- Dilip Madan
- Seneta
- Denis Talay
- Eckhard Platen
- A. Buraschi
- Jun Pan
- Ole E. Barndorff-Nielsen
- Rama Cont
- Peter Tankov
- Vilkov
- Mikhail Chernov
- Nicola Bruti-Liberati
- Christian Houdre
Asset allocation:
Statistics and econometrics:
HPC/Supercomputing/GPGPU etc...
- EPCC and FHPCA
- Grid Today
- Computing at scale blog
- Robert Strzodka
- ACML, MKL, S3L and IT++
- Intel Ct
- Windows in Fin Services
- HDF5 file format
- Standard Performance Evaluation Corporation
Luxembourg:
- AGEFI
- ABBL
- ALEBA Ass. Lux. Empl. de Banque
- ALFI
- IFBL
- ALGAFI
- EFFAS
- DVFA (Deutschland)
- CEFA & CIIA
Programming & numerics:
- Various Assembly links
- Bit twiddling hacks
- Standard C
- Exceptions in C and again
- C++ documentation and tutorials
- C++ FAQ lite,Thinking in C++
- Stroustroups C++ Style&Tech FAQ
- Boost, Blitz++, Expression templates
- yasper for smart pointers
- Creating XLLs
- Robust computation links
- Michael Herf's coding tips
- Ninja @ IBM - Numerically intensive java
- CPU time in Java
- Matlab array manipulation tipsntricks and more
- Leutenegger's Fast Matlab Toolbox and Lightspeed
- Programming in C++ - Reccomendations
- Giles' MatLab hints
- OCaml for RayTracing and Fibonacci
- Psort
- Open Standards
- Open Optimization Library @GSL
Miscellanea:
- Inomics - Conference Calls in Economics
- Ten digits algorithms - Ten digits, five seconds, one page
- GARP - global association of risk professionals
- FMR Consulting
- Futures Truth Magazine
- Scholarpedia
- Beware Excel
- Beware Numerical Recipes too
- Beware Schildt even more
- Latex symbol reference and more and Latex wiki
- Jason Rennie's Latex Tips n Tricks
- Wilmott wiki
- Computational methods in Finance conference
- QuantRecruiter blog
- European Mathematical Society