Fabien Le Floc'h

Calypso Technology

Senior Financial Engineer

106 rue de la Boetie

Paris, 75008

France

Independent

France

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,958

SSRN RANKINGS

Top 3,958

in Total Papers Downloads

9,936

SSRN CITATIONS
Rank 47,311

SSRN RANKINGS

Top 47,311

in Total Papers Citations

0

CROSSREF CITATIONS

10

Scholarly Papers (23)

1.

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 1,449 (12,409)

Abstract:

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stochastic volatility, SABR, calibration, implied volatility, finance

2.

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 1,432 (12,637)
Citation 5

Abstract:

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

3.

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 1,138 (18,040)
Citation 1

Abstract:

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implied volatility, Bachelier, b.p. vol

4.

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 1,014 (21,411)

Abstract:

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volatility surface

5.

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 877 (26,424)
Citation 1

Abstract:

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yield curve, finance

6.

Issues of Nelder-Mead Simplex Optimisation with Constraints

Number of pages: 7 Posted: 02 Jul 2012
Fabien Le Floc'h
Calypso Technology
Downloads 712 (35,251)
Citation 3

Abstract:

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

7.

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 506 (55,099)

Abstract:

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

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 491 (57,251)
Citation 1

Abstract:

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

9.

Initial Guesses for SVI Calibration

Number of pages: 16 Posted: 27 Sep 2014
Fabien Le Floc'h
Calypso Technology
Downloads 377 (78,665)

Abstract:

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SVI, calibration, implied volatility, 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 355 (84,374)

Abstract:

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Quanto, Option, Finance, Local Volatility, Displaced Diffusion

11.

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 344 (87,504)

Abstract:

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barrier option, Black-Scholes, 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 278 (110,474)
Citation 1

Abstract:

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variance swap, volatility, derivatives, replication, finance

13.

Volatility Derivatives Practical Notes

Number of pages: 18 Posted: 19 Jun 2015
Fabien Le Floc'h
Calypso Technology
Downloads 186 (163,760)

Abstract:

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

14.

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 123 (230,951)

Abstract:

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

15.

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 110 (250,465)

Abstract:

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

16.

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 110 (250,465)
Citation 1

Abstract:

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Monte-Carlo, Finance, Option

17.

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 105 (258,752)

Abstract:

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

18.

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 100 (267,488)

Abstract:

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

19.

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 99 (269,278)
Citation 1

Abstract:

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Finite difference, TR-BDF2, Calibration

20.

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 97 (272,900)

Abstract:

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

21.

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

Number of pages: 8 Posted: 13 Jul 2017
Fabien Le Floc'h
Calypso Technology
Downloads 33 (457,716)

Abstract:

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Euler, Dirac, BDF2, Richardson extrapolation, Crank-Nicolson, finite difference

22.

Free Boundary SABR with Arbitrage-Free Finite Difference Methods

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

Abstract:

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

23.

TR-BDF2 for Stable American Option Pricing

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

Abstract:

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

Other Papers (1)

Total Downloads: 303
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 303

Abstract:

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American Option