Antoine Savine

Quantitative Research at Danske Bank

Antoine Savine is a mathematician and long time derivatives practitioner with leading investment banks. After globally running quantitative research for a major French bank for ten years, Antoine joined Jesper Andreasen to participate in the development of Danske Bank's systems, which won the In-House System of the Year 2015 Risk award.

Danske Bank’s systems combine a number of cutting-edge technologies, like Algorithmic Adjoint Differentiation (AAD), model hierarchies, cash-flow scripting, parallel Monte-Carlo and some advanced ways of learning the future values of a bank’s trading books over simulated training sets.

Antoine is the author of the Modern Computational Finance books, published with Wiley, which describe and explain these technologies in detail and ship 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 and Numerical 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 and parallel Monte-Carlo.