Fabien Le Floc'h

Calypso Technology

Senior Financial Engineer

106 rue de la Boetie

Paris, 75008

France

Independent

France

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 5,192

SSRN RANKINGS

Top 5,192

in Total Papers Downloads

6,394

CITATIONS

0

Scholarly Papers (22)

1.

Finite Difference Techniques for Arbitrage Free SABR

Number of pages: 25 Posted: 28 Feb 2014 Last Revised: 13 Jan 2015
Fabien Le Floc'h and Gary J. Kennedy
Calypso Technology and Clarus Financial Technology
Downloads 579 (16,511)

Abstract:

stochastic volatility, SABR, TR-BDF2, Crank-Nicolson, finite difference, finance

2.

Stable Interpolation for the Yield Curve

Number of pages: 15 Posted: 14 Nov 2012 Last Revised: 09 Aug 2015
Fabien Le Floc'h
Calypso Technology
Downloads 557 (25,366)

Abstract:

yield curve, finance

3.

Arbitrages in the Volatility Surface Interpolation and Extrapolation

Number of pages: 8 Posted: 14 Nov 2012 Last Revised: 27 Jan 2013
Fabien Le Floc'h
Calypso Technology
Downloads 472 (29,002)

Abstract:

volatility surface

4.

Issues of Nelder-Mead Simplex Optimisation with Constraints

Number of pages: 7 Posted: 02 Jul 2012
Fabien Le Floc'h
Calypso Technology
Downloads 427 (32,824)

Abstract:

Finance, Non-Linear Optimisation, Nelder-Mead, Downhill Simplex

5.

Explicit SABR Calibration Through Simple Expansions

Number of pages: 21 Posted: 18 Jul 2014
Fabien Le Floc'h and Gary J. Kennedy
Calypso Technology and Clarus Financial Technology
Downloads 339 (28,750)

Abstract:

stochastic volatility, SABR, calibration, implied volatility, finance

6.

Numerical Methods for the Valuation of Accumulators under Local Volatility

Number of pages: 19 Posted: 15 Nov 2012 Last Revised: 28 Jan 2013
Fabien Le Floc'h
Calypso Technology
Downloads 218 (64,357)

Abstract:

Option, Finance, Local Volatility, Monte-Carlo, Milstein, Euler, Accumulator, Displaced Diffusion

7.

Fast and Accurate Analytic Basis Point Volatility

Number of pages: 14 Posted: 06 Apr 2014 Last Revised: 17 Jun 2016
Fabien Le Floc'h
Calypso Technology
Downloads 205 (33,831)

Abstract:

implied volatility, Bachelier, b.p. vol

8.

Fourier Integration and Stochastic Volatility Calibration

Number of pages: 23 Posted: 04 Dec 2013 Last Revised: 27 Feb 2014
Fabien Le Floc'h
Calypso Technology
Downloads 201 (75,603)

Abstract:

Heston, Bates, Schobel-Zhu, Double Heston, COS method

9.

Barrier Options Under Negative Rates in Black-Scholes

Number of pages: 4 Posted: 27 Sep 2014 Last Revised: 18 Jun 2015
Fabien Le Floc'h and Alexander Prüll
Calypso Technology and Erste Group Bank AG
Downloads 158 (80,800)

Abstract:

barrier option, Black-Scholes, finance

10.

On the Simulation of a Quanto Process Under Local Volatility

Number of pages: 9 Posted: 02 Jul 2012
Fabien Le Floc'h
Calypso Technology
Downloads 125 (135,908)

Abstract:

Quanto, Option, Finance, Local Volatility, Displaced Diffusion

11.

Initial Guesses for SVI Calibration

Number of pages: 16 Posted: 27 Sep 2014
Fabien Le Floc'h
Calypso Technology
Downloads 113 (114,601)

Abstract:

SVI, calibration, implied volatility, finance

12.

Variance Swap Replication: Discrete or Continuous?

Number of pages: 7 Posted: 22 Feb 2015 Last Revised: 17 Mar 2015
Fabien Le Floc'h
Calypso Technology
Downloads 80 (151,136)

Abstract:

variance swap, volatility, derivatives, replication, finance

13.

Trapped by the Tails of the Bivariate Normal Distribution

Number of pages: 8 Posted: 04 Dec 2013
Fabien Le Floc'h, Hector Ciruelos and Alexander Prüll
Calypso Technology, Calypso Technology and Erste Group Bank AG
Downloads 69 (230,642)

Abstract:

bivariate normal distribution, normal distribution, partial barrier option, finance

14.

Exact Forward in Monte-Carlo

Number of pages: 3 Posted: 14 May 2013 Last Revised: 03 Jun 2013
Fabien Le Floc'h
Calypso Technology
Downloads 61 (233,949)

Abstract:

Monte-Carlo, Finance, Option

15.

Lower and Upper Bounds in the Monte-Carlo Simulation of Bermudan Basket Options

Number of pages: 7 Posted: 09 May 2013
Fabien Le Floc'h
Calypso Technology
Downloads 51 (260,192)

Abstract:

Monte-Carlo, American Option, Bermudan Option, Longstaff-Schwartz

16.

Exact Forward and Put-Call Parity with TR-BDF2

Number of pages: 7 Posted: 04 Dec 2013 Last Revised: 13 Jan 2014
Fabien Le Floc'h
Calypso Technology
Downloads 40 (286,797)

Abstract:

Finite difference, TR-BDF2, Calibration

17.

Volatility Derivatives Practical Notes

Number of pages: 18 Posted: 19 Jun 2015
Fabien Le Floc'h
Calypso Technology
Downloads 34 (213,450)

Abstract:

variance swap, volatility swap, replication, Filon, oscillatory integrand, finance

18.

Positive Second Order Finite Difference Methods on Fokker-Planck Equations with Dirac Initial Data - Application in Finance

Number of pages: 12 Posted: 13 May 2015 Last Revised: 05 Nov 2015
Fabien Le Floc'h
Calypso Technology
Downloads 34 (225,780)

Abstract:

SABR, Fokker-Planck, Dirac, BDF2, Richardson extrapolation, Crank-Nicolson, finite difference

19.

Free Boundary SABR with Arbitrage-Free Finite Difference Methods

Posted: 13 Feb 2016
Fabien Le Floc'h
Calypso Technology

Abstract:

stochastic volatility, SABR, TR-BDF2, Crank-Nicolson, finite difference, finance

20.

Pitfalls of Exponential Fitting on the Black-Scholes PDE

Number of pages: 15 Posted: 06 Jan 2016 Last Revised: 08 Jan 2016
Fabien Le Floc'h
Calypso Technology
Downloads 0 (296,566)

Abstract:

Black-Scholes, PDE, exponential fitting, Scharfetter-Gummel, partial differential equation, diffusion

21.

More Stochastic Expansions for the Pricing of Vanilla Options with Cash Dividends

Number of pages: 21 Posted: 06 Dec 2015 Last Revised: 01 Feb 2016
Fabien Le Floc'h
Calypso Technology
Downloads 0 (301,713)

Abstract:

Discrete dividends, cash dividends, stochastic expansion, option, pricing, Black-Scholes, finance

22.

TR-BDF2 for Stable American Option Pricing

Posted: 26 Jul 2010 Last Revised: 03 Dec 2013
Fabien Le Floc'h
Calypso Technology

Abstract:

Finite Difference, American, Option, Finance, Pricing, trbdf2, TR-BDF2, Rannacher

Other Papers (1)

Total Downloads: 152    Citations: 0
1.

Greeks Under the Ju-Zhong American Option Model

Number of pages: 2 Posted: 03 Apr 2014 Last Revised: 27 Apr 2016
Fabien Le Floc'h
Calypso Technology
Downloads 71

Abstract:

American Option