Risk podcast : Differential Machine Learning

Co-author Brian Huge and I were interviewed by Risk Magazine last week and got a chance to present differential ML and related algorithms in non-technical terms. The podcast is publicly available https://www.risk.net/cutting-edge/views/7880346/podcast-huge-and-savine-on-turbo-charging-derivatives-pricing

Podcast: Huge and Savine on turbo-charging derivatives pricing

QuantMinds e-magazine, June 2020

New research, new breakthroughs, and new opportunities

With the results of my latest work with Brian Huge on differential machine learning, along with the latest from Marcos Lopez de Prado, Alexander Antonov, Svetlana Borovkova, and Fabio Mercurio, who have shared their latest insights into machine learning (ML), neural networks, covid-19 and Libor.

Differential machine learning combines ML with automatic differentiation (AAD) to produce accurate pricing and risk approximations for arbitrary derivatives transactions or trading books, quickly, online, with convergence guarantees.

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QuantMinds e-magazine, June 2020

interactive magazine here