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9781119540786

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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. - Prof. Alexander Lipton, Founder and CEO, Stronghold Labs; Fellow, Connection Science and Engineering, Massachusetts Institute of Technology

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. - Prof. Alexander Lipton, Founder and CEO, Stronghold Labs; Fellow, Connection Science and Engineering, Massachusetts Institute of Technology

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. - Prof. Alexander Lipton, Founder and CEO, Stronghold Labs; Fellow, Connection Science and Engineering, Massachusetts Institute of Technology

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ANTOINE SAVINE is a mathematician and derivatives practitioner with 25 years of leadership experience with global investment banks. He wrote the book on automatic adjoint differentiation (AAD) and co-developed Differential Machine Learning. He was also influential in volatility modeling and many areas of numerical and computational finance. Antoine works with Superfly Analytics at Danske Bank, winner of the 2019 Excellence in Risk Management and Modelling RiskMinds award. He holds a PhD in Mathematical Finance from Copenhagen University, where he teaches quantitative and computational finance. Jesper Andreasen heads the Quantitative Research department at Saxo Bank. Over a 25 year long career he has held senior roles in quant departments of Bank of America, Nordea and General Re Financial Products, and he founded and headed the Superfly Analytics department at Danske Bank. Jesper co-received Risk magazine’s 2001 and 2012 Quant of the year awards and their In-House Risk System of the year award in 2015. He is an honorary professor of Mathematical Finance at Copenhagen University and completed his PhD in the same subject at Aarhus University in 1997.

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