Antoine Savine | Modern Computational Finance

Antoine Savine is a mathematician, and a finance academic and practitioner. A PhD in Mathematics from the Copenhagen University and a quantitative researcher at Danske Bank (Risk In-House System of Year 2015), he also teaches at Copenhagen University.

Previously, Antoine was Global Head of Credit, Hybrid, Inflation, Forex and Fixed Income Derivatives Analytics at BNP-Paribas, and also held positions at Nikko Securities and Gen Re.

Antoine Savine is the author of Modern Computational Finance books with John Wiley and Sons (ISBN 978-1119539452). In Mathematical Finance, he has been influential in the development of scripting and automatic differentiation, and has also contributed to volatility modelling.

Antoine's current research explores the combination of financial modeling with deep learning in order to unify derivatives risk management with capital calculations and resolve computational and numerical bottlenecks in the production of regulatory amounts like CVA/XVA, CCR, FRTB, MVA etc.

Modern Computational Finance
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