Ask the Author: Antoine Savine
Answered Questions (4)
Antoine Savine
I am working with my friend Jesper Andreasen on the second volume, which covers one the most important technologies for derivatives, the scripting of cash-flows. Please see a preview here:
http://papers.ssrn.com/sol3/papers.cf...
http://papers.ssrn.com/sol3/papers.cf...
Antoine Savine
I started writing the book after my colleagues and I completed the related developments in Danske Bank's systems. I figured, with the development work done, documentation should be fast and painless.
I figured wrong.
It took years of working at night and over week-ends to produce a text with sufficient clarity, transparency and rigor on a difficult topic.
Writing a book takes an insane amount of work, even when you know the subject by heart.
I hope readers will find that the book was worth the effort.
I figured wrong.
It took years of working at night and over week-ends to produce a text with sufficient clarity, transparency and rigor on a difficult topic.
Writing a book takes an insane amount of work, even when you know the subject by heart.
I hope readers will find that the book was worth the effort.
Antoine Savine
I have been a derivatives professional for many years and I have been teaching mathematical and computational finance since 2015. It is natural for me to gather the most interesting ideas and technologies and publish them as self contained books.
Antoine Savine
My colleagues of Danske Bank and I implemented parallel simulations with automatic adjoint differentiation on a large scale through the bank's system and won the In-House System of the Year 2015 Risk Award. I volunteered to write the book to promote these amazing technologies and educate practitioners and academics involved with derivatives risk management.
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