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Modern Computational Finance: Aad and Parallel Simulations

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Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware.

AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, devel
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Hardcover, 592 pages
Published November 20th 2018 by Wiley
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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
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