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Danske Bank
- Copenhagen, Denmark
- antoinesavine.com
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CompFinance
CompFinance PublicCompanion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
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CompFinLecture
CompFinLecture PublicMaterial for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
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WilmottArticle
WilmottArticle PublicCompanion code to the series of articles on AAD in Wilmott Magazine
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differential-machine-learning/notebooks
differential-machine-learning/notebooks PublicImplement, 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 …
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differential-machine-learning/appendices
differential-machine-learning/appendices PublicComplement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
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