Dmitri Goloubentsev

MatLogica

Dmitri Goloubentsev has 18 years’ experience working as a Quantitative Analyst at a variety of Canadian and UK-based investment banks. Dmitri is proficient in high- performance computing in C++ and assembler languages. In 2017, while working on risk system at Lloyds, Dmitri realised a number of technical obstacles that prevented the efficient use of risk sensitivity methods and parallel computing. Dmitri developed a new concept to address this problem and founded MatLogica to develop the commercial product. Dmitri frequently presents at related conferences and co-authored multiple whitepapers.

Articles by Dmitri Goloubentsev

Original research

Adjoint differentiation for generic matrix functions

The authors develop and apply a formula to derive closed-form expressions in particular quantitative finance cases.

13 Oct 2022

Cutting Edge

Automatic implicit function theorem

New technique can improve use of adjoint algorithmic differentiation in calibration problems

21 Sep 2022

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here