Antoine Savine gives volatility modeling and computational finance lectures at Copenhagen University ‘s Masters of Science in Mathematics-Economics.
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 curriculum for Antoine Savine’s numerical 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.
A more gentle introduction to AAD in Machine Learning and Finance is found on the book’s GitHub repo:
- Go to http://github.com/asavine
- Click ‘CompFinance’
- View or download ‘Intro2AADinMachineLearningAndFinance.pdf’
It is advisable to follow asavine on GitHub and watch the CompFinance repo to be notified of future updates.
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:
Exercises and assignments
See below the final hand-in for the computational finance lecture of autumn 2018: