I am working on a set of exercises and assignments for the chapters of the Modern Computational Finance book. In the meantime, interested readers will find below the final hand-in for the computational finance lecture of autumn 2018 at Copenhagen University, where the book is used as curriculum:
https://antoinesavine.com/wp-content/uploads/2019/01/compfinhandin.pdf
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.
https://www.quora.com/topic/Modern-Computational-Finance
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:
Antoine Savine 