Antoine Savine

Danske Bank

Quantitative Research

DK-1092 Copenhagen K

Denmark

http://antoinesavine.com

University of Copenhagen - Copenhagen University

studiestraede 6

copenhagen, 1455

Denmark

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

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 23,434

SSRN RANKINGS

Top 23,434

in Total Papers Downloads

2,291

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Ideas:
“  Differential Machine Learning is an extension of supervised learning with differential labels = derivatives of labels wrt inputs. In financial risk management where training sets are simulated, differentials are efficiently obtained with automatic differentiation (AAD). Differential ML provides a massive improvement in function approximation for pricing and risk in finance, and in all situations where high quality first order derivatives wrt to training inputs are available.  ”

Scholarly Papers (6)

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 629 (46,820)
Citation 5

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 487 (64,748)

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.

Differential Machine Learning

Number of pages: 51 Posted: 04 Jun 2020 Last Revised: 30 Sep 2020
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 372 (89,274)
Citation 1

Abstract:

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automatic differentiation, machine learning, deep learning, neural networks, quantitative finance, risk management, derivatives, trading systems, financial regulation, options, pricing, monte carlo, least square method, regression, PCA

4.

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

Number of pages: 48 Posted: 31 Dec 2018
Antoine Savine
Danske Bank
Downloads 364 (91,796)

Abstract:

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

5.

Theory of Volatility

Number of pages: 18 Posted: 18 May 2018 Last Revised: 16 Nov 2018
Antoine Savine
Danske Bank
Downloads 278 (122,928)
Citation 1

Abstract:

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

6.

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 161 (205,629)
Citation 1

Abstract:

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