Quantitative models with Algorithmic Differentiation in Finance

Goldman Sachs’ An Evening with Goldman Sachs Engineering series connects local technology communities with the firm’s engineers, to share latest trends across the tech industry, as well as the culture within which our engineers work.

Quantitative models with Automatic Adjoint Differentiation in Finance | Supplementing classic derivative pricing techniques with the Machine Learning solutions.

📌 You will learn:

• Quantitative Models used for modelling some of the derivative products
• How Automatic Adjoint Differentiation can be used to enhance risk management

Risk Engineering, which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and quantitative models for efficient risk management.

Join our Tech Meetup to learn more about Risk Engineering at Goldman Sachs.

Agenda:
18:00 – 19:00 Lecture/Workshops
19:00 – 20:30 Networking drinks & pizza

📌 Speakers: Maciej Wałęga and Jan Malinowski

Maciej Wałęga works within Model Risk Management at Goldman Sachs. He studied architecture and math at Wroclaw University of Science and Technology. In his spare time he enjoys watching sports and reading about modern architecture.

Jan Malinowski works within the Credit Risk Strats team at Goldman Sachs. Before joining Goldman Sachs he studied physics at the University of Oxford. He’s interested in reading books, working out, learning new things and travelling.

Please note, photo ID will be required for access to Warsaw Spire.