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The Practitioners' Lecture Series: Introduction to back-propagation and aut...

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King's College London

BH (SE) 1.05, Bush House

Strand

London

WC2R 2LS

United Kingdom

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The Practitioners Lecture Series at King's College London, supported by Simudyne, is honoured to announce its next event:



The Practitioners’ Lecture Series Presents:


Antoine Savine


  • Global head derivatives quants, BNP-Paribas, 1999-2009

  • Exotics, XVA and regulations at Danske Bank since 2013

  • Risk in-house system of the year 2015

  • Lecturer in volatility and numerical finance, Copenhagen University, since 2016

  • Author of Modern Computation Finance (Wiley, 2018)




Workshop: Introduction to back-propagation and automatic adjoint differentiation (AAD) in machine learning and finance


Location: Kings College London, Bush House Room - BH (SE) 1.05

Times:

Day 1: Thursday, 28 March 17:00-19:00

Day 2: Friday, 29 March 14:00-18:00

Registration is free but availability is limited due to logistic constraints.

For questions and queries please contact the organiser at Blanka.Horvath@kcl.ac.uk



The 6-hour workshop, includes:

  • Introduction to Artificial Neural Networks and Deep Learning

  • Back-propagation through ANNs

  • Applications of Deep Learning in finance

  • Hands-on examples with Excel/C++ and Python/Tensor Flow

  • Extract computation graphs and differentiate arbitrary calculations

  • Fast (reverse mode) AAD with operator overloading in C++ Application to financial risk management

Workshop slides can be downloaded here after the workshop.



The Practitioners' Lecture Series at King's College is sponsored by


Simudyne


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Location

King's College London

BH (SE) 1.05, Bush House

Strand

London

WC2R 2LS

United Kingdom

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