AAD and backpropagation in Finance, explained in 15min

Bloomberg Tech Talks, 27th November 2019, London
download the slides here

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:

60 Years Birthday, 30 Years of Ground Breaking Innovation: A Tribute to Bruno Dupire by Antoine Savine

bruno

Modern Computational Finance: AAD and Parallel Simulations (Wiley, November 13th 2018)

My book is out on Amazon today. You can read about it in my Medium post:

http://medium.com/@antoine_savine/modern-computational-finance-aad-and-parallel-simulations-c8cd42e7ad6e

A free preview, including Leif Andersen’s preface, is available here:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=3281877

The companion code is freely available on GitHub:

http://github.com/asavine/CompFinance/wiki

Follow the repo to be notified of updates, extensions and fixes.

I will be answering questions, suggestions and comments on my GoodReads page:

http://www.goodreads.com/author/show/18069638.Antoine_Savine

I put all my years of promoting, teaching and professionally implementing automatic adjoint differentiation (AAD) in this book, yet it took years of working nights and week-ends to (hopefully) get it right. I hope readers find that it was worth the effort.

Antoine Savine