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Antoine Savine
Quantitative Research at Danske Bank


Antoine Savine is a mathematician, academic and a leading derivatives practitioner with Superfly Analytics at Danske Bank, winner of the Risk In-House System of the Year 2015 award and the Excellence in Risk Management and Modelling RiskMinds 2019 award.

Antoine has held multiple leading positions in quantitative finance, including Global Head of Research at BNP-Paribas 1999-2012.

Danske Bank’s multi-award winning risk management platform combines a number of cutting-edge technologies, like Algorithmic Adjoint Differentiation (AAD), model hierarchies, cash-flow scripting, parallel Monte-Carlo or Deep Learning. Antoine’s annual talks with QuantMinds and RiskMinds explain these technologies and their implementation in derivatives risk management.

Antoine is the author of the Modern Computational Finance book, published with Wiley, which describes and explains these technologies in deep detail with complete, professional C++ code. 

Antoine also lectures in the University of Copenhagen's Masters of Science in Mathematics-Economics, with topics including Volatility Modeling, Computational Finance and Machine Learning in Finance. He holds a Masters in Mathematics from the University of Paris-Jussieu and a PhD in Mathematics from the University of Copenhagen. He is best known for his work on volatility, multi-factor interest rate models, scripting, AAD, parallel Monte-Carlo and Deep Analytics.

Agenda Sessions

  • Workshop leader’s opening remarks

  • Deep Learning and Derivatives Finance

  • Back-Propogation

  • AAD in C++

  • Application to Derivatives Risk Management

  • Workshop leader's closing remarks

  • Deep Analytics Masterclass