Antoine Savine

Danske Bank

Quantitative Research

DK-1092 Copenhagen K

Denmark

http://me.asavine.com

University of Copenhagen - Copenhagen University

studiestraede 6

copenhagen, 1455

Denmark

http://www.math.ku.dk/english/staff/?pure=en/persons/590245

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 44,448

SSRN RANKINGS

Top 44,448

in Total Papers Downloads

881

CITATIONS

2

Scholarly Papers (5)

1.

LSM Reloaded - Differentiate xVA on your iPad Mini

Number of pages: 46 Posted: 10 May 2017 Last Revised: 16 Nov 2018
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 434 (62,998)

Abstract:

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Antoine Savine, Brian Huge, automatic differentiation, Monte-Carlo, financial simulations, risk management, derivatives, LSM, AAD, xVA, check-pointing

2.

Modern Computational Finance: AAD and Parallel Simulations (Table of Contents and Preface)

Modern Computational Finance: AAD and Parallel Simulations (2018)
Number of pages: 22 Posted: 13 Dec 2018
Antoine Savine and Leif Andersen
Danske Bank and Independent
Downloads 186 (155,550)

Abstract:

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Antoine Savine, automatic differentiation, adjoint differentiation, algorithmic differentiation, monte-carlo, financial derivatives, risk management, C plus plus, parallel computing

3.

Financial Cash-Flow Scripting: Beyond Valuation (Presentation Slides)

Number of pages: 48 Posted: 31 Dec 2018
Antoine Savine
Danske Bank
Downloads 112 (235,167)

Abstract:

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Antoine Savine, Jesper Andreasen, Risk Management, Scripting, Financial Derivatives, Derivatives Systems, C Plus Plus, Financial Systems

4.

Theory of Volatility

Number of pages: 18 Posted: 18 May 2018 Last Revised: 16 Nov 2018
Antoine Savine
Danske Bank
Downloads 96 (261,581)
Citation 2

Abstract:

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Antoine Savine, Bruno Dupire, volatility, local volatility, stochastic volatility, options, smile, distribution theory, generalized derivatives, Tanaka

5.

From Model to Market Risks: The Implicit Function Theorem (IFT) Demystified

Number of pages: 6 Posted: 31 Oct 2018 Last Revised: 16 Nov 2018
Antoine Savine
Danske Bank
Downloads 53 (363,570)

Abstract:

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Antoine Savine, Automatic Differentiation, AAD, Risk Management, Market Risk, Quantitative Finance, Volatility, Finance, Options