Antoine Savine is a mathematician, academic and professional with financial derivatives. After globally running quantitative research for a leading French investment bank, Antoine joined Jesper Andreasen in Copenhagen to participate in the development of Danske Bank’s systems, which won the In-House System of the Year 2015 Risk award.
Antoine Savine also lectures at Copenhagen University’s Masters of Science in Mathematics-Economics, with topics including Volatility Modeling and Numerical Finance, for which he wrote the curriculum AAD and Parallel Simulations with Wiley.
Antoine Savine holds a Masters in Mathematics from the University of Paris-Jussieu and a PhD in Mathematics from Copenhagen University. He is best known for his influential work on risk management, volatility, multi-factor interest rate models, scripting, AAD and parallel Monte-Carlo.
Antoine’s current research interests are in combining financial modeling with deep learning, in order to unify derivatives risk management with capital calculations, CVA/XVA, CCR (counterparty credit risk), FRTB (fundamental review of the trading books) and MVA (initial margin valuation adjustment) and resolve related numerical and computational bottlenecks. All of those formed the major theme of the QuantMinds 2019 conference in Vienna, where Antoine chaired the Numerical and Computational Finance stream, emphasizing Danske Bank’s unique vision of One Quantitative Engine for the risk management of derivatives and regulations.