"Much honored to be invited by Kings College London to deliver this presentation on 28th and 29th March: https://www.eventbrite.co.uk/e/the-practitioners-lecture-series-introduction-to-back-propagation-and-automatic-adjoint-tickets-58436780985"
RSS
Loading feed
Gifts Received
Antoine Savine has not received any gifts yet
Antoine Savine's Page
Latest Activity
Antoine Savine commented on Antoine Savine's blog post Lecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and FinanceAntoine Savine posted a blog postDeep 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
paul c liked Antoine Savine's blog post Deep Learning picking momentum in option pricing and financial risk managementAntoine Savine's blog post was featuredDeep 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
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"
Antoine Savine posted a blog postLecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
To access the document, go to https://github.com/asavine/CompFinance/blob/master/Intro2AADinMachineLearningAndFinance.pdfThis is a work in progress, feedback is highly appreciated.ContentIntroductionAdjoint Differentiation -…See More
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…"
Antoine Savine posted a blog postLecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
To access the document, go to https://github.com/asavine/CompFinance/blob/master/Intro2AADinMachineLearningAndFinance.pdfThis is a work in progress, feedback is highly appreciated.ContentIntroductionAdjoint Differentiation -…See More
Antoine Savine's blog post was featuredLecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
To access the document, go to https://github.com/asavine/CompFinance/blob/master/Intro2AADinMachineLearningAndFinance.pdfThis is a work in progress, feedback is highly appreciated.ContentIntroductionAdjoint Differentiation -…See More
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 1 Like
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:…
Continue Lecture slides: Introduction to Adjoint Differentiation and Back-Propagation in Machine Learning and Finance
Posted on November 18, 2018 at 7:00am 3 Comments 0 Likes
To access the document, go to https://github.com/asavine/CompFinance/blob/master/Intro2AADinMachineLearningAndFinance.pdf
This is a work in progress, feedback is highly appreciated.…
Comment Wall
- No comments yet!
Resources
Videos
© 2019 Data Science Central ®
Powered by
Badges | Report an Issue | Privacy Policy | Terms of Service
