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Tag: Danske Bank
Excellence in Risk Management and Modelling award | RiskMinds 2019 | Winner: Superfly Analytics at Danske Bank
From Risk Minds web page: “This award is for the team who has tirelessly designed, developed and implemented new models and risk management techniques that have helped their financial institution manage risk more accurately and/or helped their institution comply with regulatory requirements.”
RiskMinds is “the world’s largest risk management event. 700+ CROs and experts from banks, buy-side, regulators, academia and beyond cover every hot topic in risk.”
Superfly Analytics presented its One Analytic Engine and Deep Analytics: Risk Management with AI. See all the slides here.
AAD and backpropagation in Finance, explained in 15min
download the slides here
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:
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
Scripting for Financial Derivatives
The slides for the presentation on scripting in finance, given at Oxford University in 2017 and QuantMinds and WBS in 2018, were just posted to SSRN, together with a brief history of scripting in finance, written by Jesper Andreasen:
Antoine Savine 