Differential Machine Learning at Bloomberg

I will be delivering the keynote at Bloomberg’s Quant Seminar in NYC next week, June 22th 2022, 17:00.

The event can be followed in person or virtually. Registration is free but mandatory. Here is the registration link: https://go.bloomberg.com/attend/invite/bloombergquant-bbq-seminar-june2022/

In this event hosted by Bruno Dupire at Bloomberg’s headquarters, I will present advances in differential machine learning at 17:40. My talk will be followed at 18:30 by a tribute to the great mathematician Marco Avellaneda by some of his closest pairs, including Bruno, Raphael Douady, Mike Lipkin and Nassim Taleb. The talks are followed by a reception at 19:00.

Risk podcast : Differential Machine Learning

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