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
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in Total Papers Downloads

1,851

SSRN CITATIONS

2

CROSSREF CITATIONS

3

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 580 (49,658)
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 429 (72,196)

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 305 (106,594)

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 245 (134,094)
Citation 1

Abstract:

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

5.

Differential Machine Learning

Number of pages: 16
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 162

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

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 130 (234,739)

Abstract:

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