Risk podcast : Differential Machine Learning

Machine Learning, Quantitative Finance

Co-author Brian Huge and I were interviewed by Risk Magazine last week and got a chance to present differential ML and related algorithms in non-technical terms. The podcast is publicly available https://www.risk.net/cutting-edge/views/7880346/podcast-huge-and-savine-on-turbo-charging-derivatives-pricing

Podcast: Huge and Savine on turbo-charging derivatives pricing

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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