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Quantitative Finance

https://www.slideshare.net/AntoineSavine/presentations

For those of you who like my posts and stories, I am working on a few nice talks and workshops on introductory automatic differentiation, deep learning, Monte-Carlo simulations and parallel programming that will land on my SlideShare page soon. Please follow me to be notified of updates.

Right now, my page has my volatility lecture notes from Copenhagen University, my interest rate modeling slides from a course internal to Danske Bank, an introduction to multi-curve and collateral consistent discounting, some material on AAD and scripting, and a personal favorite about risk smoothing and fuzzy logic.

Comments, suggestions and questions are welcome, of course.

Fuzzy Logic Danske Bank Smoothing a barrier 6 • Spread notional across barriers in (B-e/2,B+e/2) • Example: 1y 110-120 RKO...

Published by Antoine Savine

Antoine Savine is a French mathematician, academic and a leading derivatives research professional with Danske Bank in Copenhagen. Antoine also teaches Volatility and Computational Finance at Copenhagen University. He is the author of Modern Computational Finance with John Wiley and Sons. Antoine holds a PhD in Mathematics, and is best known for his work on volatility and interest rate models. He was influential in the development of cashflow scripting, the application of generalized derivatives to volatility, and the wide adoption of AAD in financial systems.

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