Kings College London Computational Finance Event

The Practitioners’ Lecture Series, March 28-29, 2019

Introduction to back-propagation and automatic differentiation (AAD) in machine learning and finance

Much honored to be invited to give the titular workshop lecture at Kings College London on 28 and 29 March. See the event page here:

See a brief, non-technical abstract on QuantMinds page here. The 6-hour workshop is a technical one. We will discuss the mathematics of deep learning and back-propagation, and the application of AAD with implementations in Python/TensorFlow and C++. The presentation slides are found on my GitHub repo (Intro2AADinMachineLearningAndFinance.pdf), together with supplementary material: code, spreadsheets and notebooks in the folder ‘Workshop’:

The event was arranged by Blanka Horvath, author of Deep Learning Volatility, where the matter of quick European option pricing in rough volatility models is resolved with deep learning methods. Thank you, Blanka.

Registration is absolutely free, but seating is limited to 40 people. I am looking forward to meet an audience interested in the most recent additions to computational finance.

Modern Computational Finance forum on Quora

A topic Modern Computational Finance was created on Quora for exchanging questions, answers, suggestions and comments about the Modern Computational Finance book, and, more generally, the topics of Numerical Finance, Monte-Carlo simulations, quasi-random number generators, parallel implementation in C++ and of course automatic differentiation.

out now

60th birthday: a tribute to Bruno Dupire

The RiO 2018 conference in mathematical finance, organized by IMPA, was held in Buzios, Rio de Janeiro, Brazil, on 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. The event gathered a number of leading scientists and professionals in one of the most productive and satisfying conferences of the year.

As one of his original alumni, I was given the responsibility to retrace some of Bruno’s ground breaking innovations, and, as a lecturer in Volatility, put them in perspective in the context of volatility modeling and derivatives trading.

See my slides here: