�ݺ�ߣshows by User: AntoineSavine

�ݺ�ߣshows by User: AntoineSavine / http://www.slideshare.net/images/logo.gif �ݺ�ߣshows by User: AntoineSavine / Sat, 19 Mar 2022 15:24:29 GMT �ݺ�ߣShare feed for �ݺ�ߣshows by User: AntoineSavine Differential Machine Learning Masterclass /slideshow/differential-machine-learning-masterclass/251381291 dlm-masterclass-v2-talk-220319152430
�ݺ�ߣs for the Differential Machine Learning masterclass given by Brian Huge and Antoine Savine in Barcelona at the Quant Minds International event of December 2021. This presentation summarises two years of research and development at Danske Bank on the pricing and risk of financial derivatives by machine learning and artificial intelligence. The presentation develops the themes introduced in two articles in Risk Magazine, October 2020 and October 2021. Those themes are being further developed in the book Modern Computational Finance: Differential Machine Learning, with Chapman and Hall, autumn 2022. ]]>
�ݺ�ߣs for the Differential Machine Learning masterclass given by Brian Huge and Antoine Savine in Barcelona at the Quant Minds International event of December 2021. This presentation summarises two years of research and development at Danske Bank on the pricing and risk of financial derivatives by machine learning and artificial intelligence. The presentation develops the themes introduced in two articles in Risk Magazine, October 2020 and October 2021. Those themes are being further developed in the book Modern Computational Finance: Differential Machine Learning, with Chapman and Hall, autumn 2022. ]]> Sat, 19 Mar 2022 15:24:29 GMT /slideshow/differential-machine-learning-masterclass/251381291 AntoineSavine@slideshare.net(AntoineSavine) Differential Machine Learning Masterclass AntoineSavine �ݺ�ߣs for the Differential Machine Learning masterclass given by Brian Huge and Antoine Savine in Barcelona at the Quant Minds International event of December 2021. This presentation summarises two years of research and development at Danske Bank on the pricing and risk of financial derivatives by machine learning and artificial intelligence. The presentation develops the themes introduced in two articles in Risk Magazine, October 2020 and October 2021. Those themes are being further developed in the book Modern Computational Finance: Differential Machine Learning, with Chapman and Hall, autumn 2022. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/dlm-masterclass-v2-talk-220319152430-thumbnail.jpg?width=120&height=120&fit=bounds" /> �ݺ�ߣs for the Differential Machine Learning masterclass given by Brian Huge and Antoine Savine in Barcelona at the Quant Minds International event of December 2021. This presentation summarises two years of research and development at Danske Bank on the pricing and risk of financial derivatives by machine learning and artificial intelligence. The presentation develops the themes introduced in two articles in Risk Magazine, October 2020 and October 2021. Those themes are being further developed in the book Modern Computational Finance: Differential Machine Learning, with Chapman and Hall, autumn 2022.

Differential Machine Learning Masterclass from Antoine Savine

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0 Notes for Computational Finance lectures, Antoine Savine at Copenhagen University /slideshow/notes-for-computational-finance-lectures-antoine-savine-at-copenhagen-university/194107981 lectureslides-191116005503
Antoine Savine's notes for the Computational Finance lectures in the Masters of Science Mathematics-Economics at Copenhagen University]]>
Antoine Savine's notes for the Computational Finance lectures in the Masters of Science Mathematics-Economics at Copenhagen University]]> Sat, 16 Nov 2019 00:55:02 GMT /slideshow/notes-for-computational-finance-lectures-antoine-savine-at-copenhagen-university/194107981 AntoineSavine@slideshare.net(AntoineSavine) Notes for Computational Finance lectures, Antoine Savine at Copenhagen University AntoineSavine Antoine Savine's notes for the Computational Finance lectures in the Masters of Science Mathematics-Economics at Copenhagen University <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/lectureslides-191116005503-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's notes for the Computational Finance lectures in the Masters of Science Mathematics-Economics at Copenhagen University

Notes for Computational Finance lectures, Antoine Savine at Copenhagen University from Antoine Savine

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0 60 Years Birthday, 30 Years of Ground Breaking Innovation: A Tribute to Bruno Dupire by Antoine Savine /AntoineSavine/60-years-birthday-30-years-of-ground-breaking-innovation-a-tribute-to-bruno-dupire-by-antoine-savine rio2018-181130003433
The RiO 2018 conference in mathematical finance was held in Buzios, Rio de Janeiro, Brazil, 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. This presentation, given by Antoine Savine, one of Bruno Dupire's original alumni and a lecturer in Volatility at Copenhagen University, celebrates Dupire's most influential contributions to mathematical finance and puts in perspective the history and main results of volatility modeling. ]]>
The RiO 2018 conference in mathematical finance was held in Buzios, Rio de Janeiro, Brazil, 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. This presentation, given by Antoine Savine, one of Bruno Dupire's original alumni and a lecturer in Volatility at Copenhagen University, celebrates Dupire's most influential contributions to mathematical finance and puts in perspective the history and main results of volatility modeling. ]]> Fri, 30 Nov 2018 00:34:33 GMT /AntoineSavine/60-years-birthday-30-years-of-ground-breaking-innovation-a-tribute-to-bruno-dupire-by-antoine-savine AntoineSavine@slideshare.net(AntoineSavine) 60 Years Birthday, 30 Years of Ground Breaking Innovation: A Tribute to Bruno Dupire by Antoine Savine AntoineSavine The RiO 2018 conference in mathematical finance was held in Buzios, Rio de Janeiro, Brazil, 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. This presentation, given by Antoine Savine, one of Bruno Dupire's original alumni and a lecturer in Volatility at Copenhagen University, celebrates Dupire's most influential contributions to mathematical finance and puts in perspective the history and main results of volatility modeling. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/rio2018-181130003433-thumbnail.jpg?width=120&height=120&fit=bounds" /> The RiO 2018 conference in mathematical finance was held in Buzios, Rio de Janeiro, Brazil, 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. This presentation, given by Antoine Savine, one of Bruno Dupire's original alumni and a lecturer in Volatility at Copenhagen University, celebrates Dupire's most influential contributions to mathematical finance and puts in perspective the history and main results of volatility modeling.

60 Years Birthday, 30 Years of Ground Breaking Innovation: A Tribute to Bruno Dupire by Antoine Savine from Antoine Savine

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0 Introduction to Interest Rate Models by Antoine Savine /AntoineSavine/introduction-to-interest-rate-models-117627629 irmconsolidated-181001170533
Antoine Savine's Introductory lecture notes to Interest Rate Models for financial derivatives valuation, risk management and regulations. The presentation is designed for a professional audience of quantitative analysts, developers, traders and risk managers. It was given internally in Danske Bank in Q1 2018 and received excellent feedback. The presentation does not shy away from mathematics. It focuses on the Heath-Jarrow-Morton (1992) approach and the Markov (Cheyette) family of interest rate models and the notions of arbitrage, risk premium and risk factors.]]>
Antoine Savine's Introductory lecture notes to Interest Rate Models for financial derivatives valuation, risk management and regulations. The presentation is designed for a professional audience of quantitative analysts, developers, traders and risk managers. It was given internally in Danske Bank in Q1 2018 and received excellent feedback. The presentation does not shy away from mathematics. It focuses on the Heath-Jarrow-Morton (1992) approach and the Markov (Cheyette) family of interest rate models and the notions of arbitrage, risk premium and risk factors.]]> Mon, 01 Oct 2018 17:05:33 GMT /AntoineSavine/introduction-to-interest-rate-models-117627629 AntoineSavine@slideshare.net(AntoineSavine) Introduction to Interest Rate Models by Antoine Savine AntoineSavine Antoine Savine's Introductory lecture notes to Interest Rate Models for financial derivatives valuation, risk management and regulations. The presentation is designed for a professional audience of quantitative analysts, developers, traders and risk managers. It was given internally in Danske Bank in Q1 2018 and received excellent feedback. The presentation does not shy away from mathematics. It focuses on the Heath-Jarrow-Morton (1992) approach and the Markov (Cheyette) family of interest rate models and the notions of arbitrage, risk premium and risk factors. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/irmconsolidated-181001170533-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's Introductory lecture notes to Interest Rate Models for financial derivatives valuation, risk management and regulations. The presentation is designed for a professional audience of quantitative analysts, developers, traders and risk managers. It was given internally in Danske Bank in Q1 2018 and received excellent feedback. The presentation does not shy away from mathematics. It focuses on the Heath-Jarrow-Morton (1992) approach and the Markov (Cheyette) family of interest rate models and the notions of arbitrage, risk premium and risk factors.

Introduction to Interest Rate Models by Antoine Savine from Antoine Savine

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0 Notes for Volatility Modeling lectures, Antoine Savine at Copenhagen University /slideshow/lecture-notes-from-volatility-modelling-lectures-at-copenhagen-university/100713722 volatilitylecturenotes-180605163133
Antoine Savine's notes for the Volatility Modeling lectures in the Masters of Science Mathematics-Economics at Copenhagen University]]>
Antoine Savine's notes for the Volatility Modeling lectures in the Masters of Science Mathematics-Economics at Copenhagen University]]> Tue, 05 Jun 2018 16:31:32 GMT /slideshow/lecture-notes-from-volatility-modelling-lectures-at-copenhagen-university/100713722 AntoineSavine@slideshare.net(AntoineSavine) Notes for Volatility Modeling lectures, Antoine Savine at Copenhagen University AntoineSavine Antoine Savine's notes for the Volatility Modeling lectures in the Masters of Science Mathematics-Economics at Copenhagen University <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/volatilitylecturenotes-180605163133-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's notes for the Volatility Modeling lectures in the Masters of Science Mathematics-Economics at Copenhagen University

Notes for Volatility Modeling lectures, Antoine Savine at Copenhagen University from Antoine Savine

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0 A Brief History of Discounting by Antoine Savine /slideshow/a-brief-history-of-discounting/100706524 discountingcva-180605160739
Antoine Savine's lectures and seminars in Bloomberg, NYC and ESILV, Paris We explain the history and modern construction of interest rate surfaces.]]>
Antoine Savine's lectures and seminars in Bloomberg, NYC and ESILV, Paris We explain the history and modern construction of interest rate surfaces.]]> Tue, 05 Jun 2018 16:07:39 GMT /slideshow/a-brief-history-of-discounting/100706524 AntoineSavine@slideshare.net(AntoineSavine) A Brief History of Discounting by Antoine Savine AntoineSavine Antoine Savine's lectures and seminars in Bloomberg, NYC and ESILV, Paris We explain the history and modern construction of interest rate surfaces. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/discountingcva-180605160739-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's lectures and seminars in Bloomberg, NYC and ESILV, Paris We explain the history and modern construction of interest rate surfaces.

A Brief History of Discounting by Antoine Savine from Antoine Savine

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0 Financial Cash-Flow Scripting: Beyond Valuation by Antoine Savine /slideshow/financial-cashflow-scripting-beyond-valuation/100706513 scriptingshort-180605160736
Antoine Savine's QuantMinds and WBS 2018 Presentation We explore the implementation of scripting in finance and its application to its full potential, in particular for xVA and related regulatory calculation. The talk is a short summary of some material from our Modern Computational Finance books with Wiley (2018-2019).]]>
Antoine Savine's QuantMinds and WBS 2018 Presentation We explore the implementation of scripting in finance and its application to its full potential, in particular for xVA and related regulatory calculation. The talk is a short summary of some material from our Modern Computational Finance books with Wiley (2018-2019).]]> Tue, 05 Jun 2018 16:07:36 GMT /slideshow/financial-cashflow-scripting-beyond-valuation/100706513 AntoineSavine@slideshare.net(AntoineSavine) Financial Cash-Flow Scripting: Beyond Valuation by Antoine Savine AntoineSavine Antoine Savine's QuantMinds and WBS 2018 Presentation We explore the implementation of scripting in finance and its application to its full potential, in particular for xVA and related regulatory calculation. The talk is a short summary of some material from our Modern Computational Finance books with Wiley (2018-2019). <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/scriptingshort-180605160736-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's QuantMinds and WBS 2018 Presentation We explore the implementation of scripting in finance and its application to its full potential, in particular for xVA and related regulatory calculation. The talk is a short summary of some material from our Modern Computational Finance books with Wiley (2018-2019).

Financial Cash-Flow Scripting: Beyond Valuation by Antoine Savine from Antoine Savine

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0 Practical Implementation of AAD by Antoine Savine, Brian Huge and Hans-Jorgen Flyger /slideshow/practical-implementation-of-aad/100706504 practicalad-180605160735
Antoine Savine, Brian Huge and Hans-Jorgen Flyger Global Derivatives 2015 Talk We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions. Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems. The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018): Modern Computational Finance: AAD and Parallel Simulations]]>
Antoine Savine, Brian Huge and Hans-Jorgen Flyger Global Derivatives 2015 Talk We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions. Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems. The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018): Modern Computational Finance: AAD and Parallel Simulations]]> Tue, 05 Jun 2018 16:07:35 GMT /slideshow/practical-implementation-of-aad/100706504 AntoineSavine@slideshare.net(AntoineSavine) Practical Implementation of AAD by Antoine Savine, Brian Huge and Hans-Jorgen Flyger AntoineSavine Antoine Savine, Brian Huge and Hans-Jorgen Flyger Global Derivatives 2015 Talk We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions. Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems. The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018): Modern Computational Finance: AAD and Parallel Simulations <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/practicalad-180605160735-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine, Brian Huge and Hans-Jorgen Flyger Global Derivatives 2015 Talk We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions. Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems. The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018): Modern Computational Finance: AAD and Parallel Simulations

Practical Implementation of AAD by Antoine Savine, Brian Huge and Hans-Jorgen Flyger from Antoine Savine

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0 Stabilise risks of discontinuous payoffs with Fuzzy Logic by Antoine Savine /AntoineSavine/stabilise-risks-of-discontinuous-payoffs-with-fuzzy-logic fuzzylogic-180605160733
Antoine Savine's Global Derivatives 2016 Talk We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic. This realisation leads to a general, automated smoothing algorithm. The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018): Modern Computational Finance: Scripting for Derivatives and xVA]]>
Antoine Savine's Global Derivatives 2016 Talk We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic. This realisation leads to a general, automated smoothing algorithm. The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018): Modern Computational Finance: Scripting for Derivatives and xVA]]> Tue, 05 Jun 2018 16:07:33 GMT /AntoineSavine/stabilise-risks-of-discontinuous-payoffs-with-fuzzy-logic AntoineSavine@slideshare.net(AntoineSavine) Stabilise risks of discontinuous payoffs with Fuzzy Logic by Antoine Savine AntoineSavine Antoine Savine's Global Derivatives 2016 Talk We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic. This realisation leads to a general, automated smoothing algorithm. The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018): Modern Computational Finance: Scripting for Derivatives and xVA <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/fuzzylogic-180605160733-thumbnail.jpg?width=120&height=120&fit=bounds" /> Antoine Savine's Global Derivatives 2016 Talk We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic. This realisation leads to a general, automated smoothing algorithm. The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018): Modern Computational Finance: Scripting for Derivatives and xVA

Stabilise risks of discontinuous payoffs with Fuzzy Logic by Antoine Savine from Antoine Savine

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0 https://cdn.slidesharecdn.com/profile-photo-AntoineSavine-48x48.jpg?cb=1742323811 Antoine Savine is a mathematician and a leading derivatives researcher with Superfly Analytics at Danske Bank, winner of the In-House System of the Year 2015 Risk award and the Excellence in Risk Management and Modelling RiskMinds 2019 award. Antoine previously held multiple leadership positions in quantitative finance, including Global Head of Research at BNP-Paribas. Antoine lectures at Copenhagen University, including Volatility, Computational Finance and Machine Learning in Finance. He is the author of the Modern Computational Finance book with Wiley. Antoine holds a MSc in Mathematics from the University of Paris-Jussieu and a PhD in Mathematics from Copenhagen University. www.antoinesavine.com https://cdn.slidesharecdn.com/ss_thumbnails/dlm-masterclass-v2-talk-220319152430-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/differential-machine-learning-masterclass/251381291 Differential Machine L... https://cdn.slidesharecdn.com/ss_thumbnails/lectureslides-191116005503-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/notes-for-computational-finance-lectures-antoine-savine-at-copenhagen-university/194107981 Notes for Computationa... https://cdn.slidesharecdn.com/ss_thumbnails/rio2018-181130003433-thumbnail.jpg?width=320&height=320&fit=bounds AntoineSavine/60-years-birthday-30-years-of-ground-breaking-innovation-a-tribute-to-bruno-dupire-by-antoine-savine 60 Years Birthday, 30 ...