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:

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

The companion code is freely available on GitHub:

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

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

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

out now


Online curriculum for Numerical Finance

The curriculum for this semester’s Numerical Finance lectures at Copenhagen University  is being published by Wiley under the name ‘Modern Computational Finance: AAD and Parallel Simulations’ and will be available on November 20th on Amazon in hardcover and electronic formats.

In the meantime, students will be a given in class a personal code that they can redeem to access the book online.

Once you are in possession of your personal code, please go to, create an account, fill in the information and redeem your personal code. Then, press the green link ‘View on your Bookshelf’ next to the confirmation that you successfully redeemed the code to access the curriculum (after you agreed to terms and conditions).

The companion code can be downloaded from Wiley as indicated in the book, or from this gitHub repo where a more current version is kept.