A passion to instruct
A knack for clarity
An obsession with detail
A luminous writer
An instant classic.
Bruno Dupire,
Head of Quantitative Research, Bloomberg L.P.
It would not be much of an exaggeration to say that Antoine Savine’s book ranks as the 21st century peer to Merton’s ‘Continuous-Time Finance’: It makes modern computational techniques such as multi-threaded parallel AAD as accessible to finance professionals as Merton’s introduction of stochastic calculus into finance. A first in a three book series authored by Danske Bank’s powerhouse quant team makes intricate concepts inherent to production-quality implementation of AAD easy to understand and follow through. No other quant finance focused book has gone so deeply into parallel C++ and AAD with such clarity, level of detail and thoroughness. I can hardly wait for the remaining two volumes to see what else the wizards of AAD have up their sleeves.
Vladimir V. Piterbarg,
Partner at Rokos Capital Management,
co-author of the three-volume set “Interest Rate Modeling”
This book […] addresses the challenges of AAD head on. […] The exposition is […] ideal for a Finance audience. The conceptual, mathematical, and computational ideas behind AAD are patiently developed in a step-by-step manner, where the many brain-twisting aspects of AAD are de-mystified. For real-life application projects, the book is loaded with modern C++ code and battle-tested advice on how to get AAD to run for real. […] Start reading!
Leif Andersen, Global Head of the Quantitative Strategies Group at Bank of America Merrill Lynch,co-author of the three-volume set “Interest Rate Modeling”
This three-book series is an indispensable resource for any quant. Written by experts in the field and filled with practical examples and industry insights that are hard to find elsewhere, the books set a new standard for computational finance.
Paul Glasserman, Jack R. Anderson Professor of Business, Columbia University
The Global Financial Crisis resulted in profound changes in quants’ Modus Operandi. This timely three-volume set describes some of the tools necessary to deal with these changes. Individual volumes cover in detail several important topics of interest to anyone who wants to stay
au courant with modern developments in financial engineering. While the books are predominantly practically oriented, they strike a fine balance between theoretical and applied considerations. The authors are prominent practitioners and indisputable thought-leaders in the field. I recommend this set enthusiastically to anyone who wishes to understand the current and emerging trends in financial engineering.Alexander Lipton, Connection science fellow at MIT, Visiting professor at EPFL, Cofounder and CTO of SilaMoney, Former co-head of the Global Analytics Group at BAML
From the Author
The companion code is freely available on github.com/asavine and readers may want to watch this repository to be notified of all upcoming updates. The code is fully explained and commented in the book.A preview is available on papers.ssrn.com/sol3/papers.cfm?abstract_id=3281877, including Leif Andersen’s preface.
AAD was named one of the greatest algorithms of the 20th century. It powers machine learning, financial risk management and many other scientific applications. It makes a major difference for financial software, allowing to compute complex risks in minutes on a laptop instead of overnight in data centers. AAD is also notoriously mind-twisting, and this key technology is still misunderstood by a majority of finance professionals. I wrote this book to explain this technology step by step, guide readers towards a complete, up to date implementation, and use it to accelerate a generic parallel simulation library (which we build in the first parts). This publication is the sum of my many years teaching AAD and implementing it professionally. My colleagues in Danske Bank and I implemented AAD in production in the early 2010s and were rewarded with Risk’s In-House System of the Year 2015 award. This book builds on our adventure and provides all the explanations and guidance for a practical, effective implementation in words, mathematics and code.
From the Inside Flap
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From the Back Cover
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About the Author
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