Differential Machine Learning: 5min video overview

Machine Learning, Quantitative Finance
Differential ML tutorial on YouTube

In this lightning talk delivered for Bloomberg’s BBQ seminar 28th May 2020, we expose the main ideas of differential machine learning and application to derivatives pricing and risk management.

Complete presentation slides here: http://www.deep-analytics.org

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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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