Modern Computational Finance: AAD and Parallel Simulations (Antoine Savine, Wiley, 2018)

I finally put all my years of teaching and professionally developing generic, parallel financial Monte-Carlo libraries and automatic adjoint differentiation (AAD) in a book published by Wiley on November 13th, 2018:

I was fortunate to get excellent early reviews by leading academics and practitioners like Bruno Dupire, Paul Glasserman or Vladimir Piterbarg. Read them here:

The book explains in deep detail the key technologies Jesper Andreasen, my colleagues in Danske Bank and myself implemented to earn the In-House System of the Year 2015 Risk award.

It comes with a complete, professional C++ library freely available on GitHub: watch the repo or follow me to be notified of updates and fixes:

Read Leif Andersen’s preface here: A number of excerpts are freely available on Wiley’s page, including a self contained section explaining quasi-random Monte-Carlo with Sobol sequences.

Questions, suggestions, comments and reviews are welcome on my GoodReads author page:

or this question on Quora:

Antoine Savine