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


Two questions to test your quant skills

Do you have what it takes to be a quant? This article on quora lists two of the most commonly asked interview questions and answers in mathematical finance (quants also need increasingly strong computational skills, which this post does not address).

The first question (Feynman-Kac’s theorem) focuses on knowledge and the manipulation of the mathematics that quants apply every day. The skills required to answer are the same needed to follow financial modeling literature and conferences. The second question (model-free valuation of binary options) focuses on agility and reasoning, and tests the skills required to apply mathematics to resolve modeling problems.