Antoine Savine

Published titles in this catalogue:

Modern Computational Finance

AAD and Parallel Simulations

Antoine Savine · Leif B. G. Andersen · 2018 · John Wiley & Sons

Institutional quant text on algorithmic adjoint differentiation (AAD), parallel Monte Carlo, and implementation-minded pricing/risk—written by practitioners who shipped large bank systems. Pairs naturally with scripting and xVA volumes for a full modern computational stack.

Derivatives
Risk management
Quantitative finance

Modern Computational Finance

Scripting for Derivatives and xVA

Antoine Savine · Jesper Andreasen · 2021 · John Wiley & Sons

Second volume: building professional derivative scripting systems—cash-flow representation, branching, American Monte Carlo hooks, and how scripting supports xVA-style portfolio interrogation. Written for quant devs and library architects who must ship maintainable payoff DSLs.

Derivatives
Risk management
Quantitative finance