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.