I just published with my colleague Brian Huge the result of 6m+ research at Danske Bank on pricing and risk approximation by AI. We found that the combination of ML with automatic differentiation (AAD) makes a rather spectacular difference.
The working paper is available on arXiv, pending...
I wanted to let the community known about the book Modern Computational Finance, which I published last month with Wiley. In order to limit repetition, I refer to my post on Medium for the story:
Modern Computational Finance: AAD and Parallel Simulations by Antoine Savine
Antoine Savine
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