Antoine Savine

derivatives professional, author, and lecturer in Copenhagen, Denmark

Antoine Savine

derivatives professional, author, and lecturer in Copenhagen, Denmark

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Antoine Savine, author of Modern Computational Finance (John Wiley and Sons, 2018), is an academic, mathematician and professional with financial derivatives.

Antoine Savine held various positions in major investment banks, alongside Bruno Dupire, Marek Musiela, Leif Andersen or Jesper Andreasen.

Antoine is best known for his influential research work on risk management, volatility and forward finite difference methods. He is also widely recognized for major contributions in the practical development of derivatives systems in modern C++, in particular, parallel Monte-Carlo simulations, scripting and automatic differentiation. His current work involves the combination of derivatives modeling with Deep Learning to resolve, improve and unify the modeling of XVA, CCR and MVA with derivatives risk management.

In the derivatives industry, Antoine Savine was Global Head of Derivatives Research at BNP-Paribas (1999-2009), and part of the team who won the In-House System of the Year 2015 Risk award at Danske Bank. He also held positions at Nikko Securities and General Re.

In the academy, Antoine Savine teaches volatility and numerical finance at Copenhagen University since 2016. He is a regular speaker and chairman in international conferences and universities, where he currently teaches the applications of Machine Learning to derivatives risk management, with a focus on back-propagation and algorithmic differentiation (AAD).

  • Work
    • Danske Bank
  • Education
    • Copenhagen University (PhD, Mathematics)
    • University Paris-Diderot (Masters, Mathematics)
    • ESSEC Paris (Grande Ecole, MBA)