Pinned

1. CompFinance CompFinance Public

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

   C++ 159 60

2. CompFinLecture CompFinLecture Public

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

   Jupyter Notebook 60 31

3. WilmottArticle WilmottArticle Public

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

   C++ 3 7

4. differential-machine-learning/notebooks differential-machine-learning/notebooks Public

   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 133 51

5. differential-machine-learning/appendices differential-machine-learning/appendices Public

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

   27 13

6. Scripting Scripting Public

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

   C++ 17 12