Antoine Savine

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Antoine Savine

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Bruno Dupire, Leif Andersen, Marek Musiela and Jesper Andreasen

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Antoine Savine is a mathematician, and finance academic and practitioner. A PhD in Mathematics from Copenhagen University and a quantitative researcher at Danske Bank, Antoine Savine also teaches volatility and numerical finance at Copenhagen University.
Antoine Savine is an expert C++ programmer and one of the key contributors to Danske Bank’s CVA (counterparty value adjustment) system, which won the prestigious In House System of the Year 2015 Risk award, and the Excellence in Risk Management and Modelling RiskMinds 2019 award.
Previously, Antoine Savine was Global Head of Derivatives Analytics at BNP-Paribas, and also held positions at Nikko Securities and Gen Re. Antoine Savine is the author of Modern Computational Finance: AAD and Paral
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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…moreI 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.(less)
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 …moreI 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...(less)
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Differential Machine Learning: 5min video overview

Differential ML tutorial on YouTube



In this lightning talk delivered for Bloomberg’s BBQ seminar 28th May 2020, we expose the main ideas of differential machine learning and application to derivatives pricing and risk management.





Complete presentation slides here: http://www.deep-analytics.org

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Published on June 15, 2020 01:30

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Antoine Savine See brief intro to AAD in finance on QuantMinds web page: https://knect365.com/quantminds/artic...


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