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Antoine Savine
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Antoine Savine posted a blog post

Deep Learning picking momentum in option pricing and financial risk management

Deep Learning is picking momentum in Quantitative Finance, outside the obvious application to the prediction of asset prices (where to my knowledge it is not particularly effective) and spreading into the more serious application area of option pricing and risk management.These two recent papers clearly demonstrate the benefits of DL as a pricing technology alternative to the classical FDM and Monte-Carlo in certain contexts:…See More
Feb 6
paul c liked Antoine Savine's blog post Deep Learning picking momentum in option pricing and financial risk management
Jan 14
Antoine Savine's blog post was featured

Deep Learning picking momentum in option pricing and financial risk management

Deep Learning is picking momentum in Quantitative Finance, outside the obvious application to the prediction of asset prices (where to my knowledge it is not particularly effective) and spreading into the more serious application area of option pricing and risk management.These two recent papers clearly demonstrate the benefits of DL as a pricing technology alternative to the classical FDM and Monte-Carlo in certain contexts:…See More
Jan 12
Antoine Savine commented on Antoine Savine's blog post Lecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
"Looks like it is the same Brownian motion we are talking about :) For an introduction in finance, we usually recommend Bjork's book  https://www.amazon.com/Arbitrage-Theory-Continuous-Oxford-Finance/dp/019957474X"
Dec 7, 2018
Antoine Savine posted a blog post
Dec 5, 2018
Vincent Granville commented on Antoine Savine's blog post Lecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
"Wondering if my presentation of Brownian motions (BM), differential and integrated BM, is compatible with the traditional definition found in quant books or taught at Princeton, or used by physicists. See my presentation about this topic, in the…"
Nov 22, 2018
Antoine Savine updated their profile
Nov 18, 2018
Antoine Savine posted a blog post
Nov 18, 2018
Antoine Savine's blog post was featured
Nov 18, 2018

Profile Information

Short Bio
Antoine Savine is a practitioner and a lecturer in methematical and computational finance. Antoine Savine is also the author of the Modern Computational Finance books with Wiley.
My Web Site Or LinkedIn Profile
http://me.asavine.com
Field of Expertise
Other
Professional Status
Technical
Years of Experience:
25
Your Company:
Danske Bank
Industry:
Financial Services
Your Job Title:
Quantitative Research
Interests:
Contributing, Networking

Antoine Savine's Blog

Deep Learning picking momentum in option pricing and financial risk management

Posted on January 11, 2019 at 5:30am 0 Comments

Deep Learning is picking momentum in Quantitative Finance, outside the obvious application to the prediction of asset prices (where to my knowledge it is not particularly effective) and spreading into the more serious application area of option pricing and risk management.

These two recent papers clearly demonstrate the benefits of DL as a pricing technology alternative to the classical FDM and Monte-Carlo in certain contexts:…

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