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  1. Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)

    C++ 86 34

  2. Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London

    Jupyter Notebook 39 20

  3. Companion code to the series of articles on AAD in Wilmott Magazine

    C++ 2 4

  4. 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 …

    Jupyter Notebook 57 30

  5. Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

    18 8

  6. Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)

    C++ 7 2

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October 2021

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