Fabien Le Floc'h

Calypso Technology

Senior Financial Engineer

106 rue de la Boetie

Paris, 75008

France

Independent

France

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,427

SSRN RANKINGS

Top 3,427

in Total Papers Downloads

15,833

SSRN CITATIONS
Rank 39,196

SSRN RANKINGS

Top 39,196

in Total Papers Citations

6

CROSSREF CITATIONS

13

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 3,713 (4,177)
Citation 2

Abstract:

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stochastic volatility, SABR, calibration, implied volatility, finance

2.

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 2,196 (9,902)
Citation 3

Abstract:

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implied volatility, Bachelier, b.p. vol

3.

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 1,813 (13,533)
Citation 5

Abstract:

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

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 1,373 (20,653)

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 1,031 (31,402)
Citation 2

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 877 (39,446)
Citation 4

Abstract:

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

7.

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 697 (53,689)
Citation 1

Abstract:

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

8.

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 662 (57,329)

Abstract:

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

9.

Initial Guesses for SVI Calibration

Number of pages: 16 Posted: 27 Sep 2014
Fabien Le Floc'h
Calypso Technology
Downloads 577 (68,366)

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 563 (70,556)

Abstract:

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Quanto, Option, Finance, Local Volatility, Displaced Diffusion

11.

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 495 (82,673)
Citation 1

Abstract:

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variance swap, volatility, derivatives, replication, finance

12.

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 385 (110,827)
Citation 1

Abstract:

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barrier option, Black-Scholes, finance

13.

Volatility Derivatives Practical Notes

Number of pages: 18 Posted: 19 Jun 2015
Fabien Le Floc'h
Calypso Technology
Downloads 325 (133,480)

Abstract:

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

14.

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 184 (233,897)
Citation 1

Abstract:

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

15.

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 167 (251,486)
Citation 1

Abstract:

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

16.

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 156 (266,246)

Abstract:

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

17.

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 143 (285,357)
Citation 1

Abstract:

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Monte-Carlo, Finance, Option

18.

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 134 (300,186)
Citation 1

Abstract:

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Finite difference, TR-BDF2, Calibration

19.

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 132 (303,722)

Abstract:

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

20.

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 125 (318,035)

Abstract:

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

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 85 (408,048)

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: 408
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 408

Abstract:

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American Option