Volatility (Copenhagen University)
Antoine Savine’s volatility lectures focus on local and stochastic volatility, and the valuation and risk management of options, exotics and financial products directly related to volatility like variance swaps and VIX derivatives. The lecture slides may be consulted and downloaded on SlideShare:
A 30-minute video summarizing Bruno Dupire’s work on volatility, given in RiO 2018 as a tribute to Bruno for his 60th birthday, is available here. The slides, somewhat hard to read on the video, are available here.
Computational Finance
And Machine Learning in Finance
(Copenhagen University
and Kings College London)
The curriculum for Antoine Savine’s computational finance lectures, focused on parallel computing, Monte-Carlo simulations and adjoint differentiation, is published under the name “Modern computational finance: AAD and parallel simulations” and may be ordered from Wiley or Amazon.
The lecture notes, C++ code, Python notebooks and other course material are freely accessible in its GitHub repo github.com/asavine/CompFinLecture.
Lectures were recorded at Kings College London in March 2019 and movies are available on Kings web site https://nms.kcl.ac.uk/probability/workshopPages.php?id=8.
C++
Programming lectures are based on C++ and some fluency is expected from the audience. Students may prepare with the classic C++ Primer:
In addition, many exercises and assignments require exporting custom C++ functions to Excel. A one-stop tutorial, together with all necessary files is found here:
C++ to Excel tutorial by Antoine Savine
Exercises and assignments
See below the final hand-in for the computational finance lecture of autumn 2018:
Antoine Savine 