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, he also teaches at Copenhagen University. Previously, he 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. He is the author of Modern Computational Finance: AAD and Parallel Simulations (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.
 

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Selected articles
https://ssrn.com/abstract=3281884
https://ssrn.com/abstract=3281877
https://ssrn.com/abstract=3262571
https://ssrn.com/abstract=3173772
https://ssrn.com/abstract=2966155

Stories on Medium
https://medium.com/p/7a056246ccac
https://medium.com/p/c8cd42e7ad6e
https://medium.com/p/e308f13acb7b
https://medium.com/p/f9c83c257850
https://medium.com/p/22f9abe5e2b8
https://medium.com/p/249c9bf2d2d4
https://medium.com/p/ef43b07006a


Slides on SlideShare
https://www.slideshare.net/AntoineSavine/introduction-to-interest-rate-models-117627629
https://www.slideshare.net/AntoineSavine/lecture-notes-from-volatility-modelling-lectures-at-copenhagen-university
https://www.slideshare.net/AntoineSavine/a-brief-history-of-discounting
https://www.slideshare.net/AntoineSavine/financial-cashflow-scripting-beyond-valuation
https://www.slideshare.net/AntoineSavine/practical-implementation-of-aad
https://www.slideshare.net/AntoineSavine/stabilise-risks-of-discontinuous-payoffs-with-fuzzy-logic
 

 


about.me     antoine@asavine.com     me.asavine