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Antoine Savine's Page
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:…
ContinueLecture 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.…
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