Antoine Savine

Antoine Savine is chief quantitative analyst with Superfly Analytics at Danske Bank, after 25 years in leadership roles with global investment banks. He wrote the book on automatic differentiation (AAD) Modern Computational Finance and co-developed differential machine learning, and was also influential in volatility modelling and various areas of numerical finance. Antoine holds a PhD in mathematical finance from Copenhagen University, where he teaches Derivatives models, computational finance and machine learning in finance.

Articles by Antoine Savine

Banking

Axes that matter: PCA with a difference

Differential PCA is introduced to reduce the dimensionality in derivative pricing problems

16 Sep 2021

Banking

Differential machine learning: the shape of things to come

A derivative pricing approximation method using neural networks and AAD speeds up calculations

28 Sep 2020