asavine

Modern Computational Finance

Danske BankCopenhagen, Denmark

Pinned Repositories

CompFinance
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
Language:C++164 20 460
CompFinLecture
Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
Language:Jupyter Notebook60 8 031
differential-ml
Differential machine learning in Keras / Tensorflow 2
Language:Jupyter Notebook2 1 01
InterestingNotebooks
Interesting notebooks collected all over the place
Language:Jupyter Notebook5 2 03
PythonDataScienceHandbook
Python Data Science Handbook: full text in Jupyter Notebooks
Language:Jupyter Notebook2 1 01
Scripting
Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)
Language:C++19 3 013
WilmottArticle
Companion code to the series of articles on AAD in Wilmott Magazine
Language:C++3 1 07
xlCppTutorial
Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine
Language:C18 3 010
appendices
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
27 5 013
notebooks
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.
Language:Jupyter Notebook136 15 451

asavine's Repositories

asavine/CompFinance
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
Language:C++164 20 460
asavine/CompFinLecture
Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
Language:Jupyter Notebook60 8 031
asavine/Scripting
Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)
Language:C++19 3 013
asavine/xlCppTutorial
Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine
Language:C18 3 010
asavine/InterestingNotebooks
Interesting notebooks collected all over the place
Language:Jupyter Notebook5 2 03
asavine/WilmottArticle
Companion code to the series of articles on AAD in Wilmott Magazine
Language:C++3 1 07
asavine/differential-ml
Differential machine learning in Keras / Tensorflow 2
Language:Jupyter Notebook2 1 01
asavine/PythonDataScienceHandbook
Python Data Science Handbook: full text in Jupyter Notebooks
Language:Jupyter Notebook2 1 01

asavine

Pinned Repositories

CompFinance

CompFinLecture

differential-ml

InterestingNotebooks

PythonDataScienceHandbook

Scripting

WilmottArticle

xlCppTutorial

appendices

notebooks

asavine's Repositories

asavine/CompFinance

asavine/CompFinLecture

asavine/Scripting

asavine/xlCppTutorial

asavine/InterestingNotebooks

asavine/WilmottArticle

asavine/differential-ml

asavine/PythonDataScienceHandbook