Daniel Alexandre Bloch

Université Paris VI Pierre et Marie Curie

175 Rue du Chevaleret

Paris, 75013

France

SCHOLARLY PAPERS

49

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50,325

SSRN CITATIONS
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Top 23,691

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12

CROSSREF CITATIONS

42

Scholarly Papers (49)

Machine Learning: Models And Algorithms

Machine Learning: Models And Algorithms, Quantitative Analytics, 2018
Number of pages: 458 Posted: 07 Jan 2019 Last Revised: 13 Jun 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 9,342 (1,266)

Abstract:

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Machine Learning, Supervised Learning, Unsupervised Learning, Reinforcement Learning, Ensemble Models, Artificial Neural Networks, Recurrent Neural Networks, Associative Reservoir Computing, Constrained Optimisation, Global Search Optimisation, Stochastic Control, Dynamic Programming, Option Pricing

Machine Learning: Models And Algorithms

Number of pages: 1584 Posted: 10 Jul 2023 Last Revised: 04 Oct 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 371 (157,291)

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Machine Learning, Supervised Learning, Unsupervised Learning, Reinforcement Learning, Ensemble Models, Artificial Neural Networks, Deep Neural Networks, Recurrent Neural Networks, Associative Reservoir Computing, Probabilistic Networks, Complex Networks, Multifractal Networks, NLP

2.

A Practical Guide to Quantitative Portfolio Trading

Number of pages: 862 Posted: 31 Dec 2014 Last Revised: 06 Mar 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 6,551 (2,288)
Citation 1

Abstract:

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Systematic Trading, Quantitative Portfolio, Quantitative Strategy, Multifractal Markets

3.

Option Pricing: Theory and Applications

Number of pages: 2285 Posted: 21 Oct 2019 Last Revised: 01 Aug 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 5,755 (2,864)

Abstract:

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Option Pricing, Complete and Incomplete Markets, Equity, Fixed Income, Variance

4.

Recipe for Quantitative Trading with Machine Learning

Number of pages: 285 Posted: 18 Dec 2019 Last Revised: 08 Nov 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 3,306 (7,290)
Citation 1

Abstract:

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Machine Learning, Recurrent Neural Networks, Associative Reservoir Computing, Multifractal Formalism, Forecasting Returns and Directions, Trading Algorithm

5.

A Practical Guide to Implied and Local Volatility

Number of pages: 81 Posted: 20 Jan 2010 Last Revised: 04 Mar 2010
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 2,919 (8,850)
Citation 12

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Stochastic Local Volatility Model, Implied Volatility, Stochastic Rates, Differential Evolution, Optimisation Problem Under Constraints

6.

A Practical Guide to Quantitative Volatility Trading

Number of pages: 327 Posted: 15 Jan 2016 Last Revised: 10 Mar 2016
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 2,330 (12,696)

Abstract:

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Systematic volatility trading, Arbitrage-free model of implied volatility surface, Multifractal markets

7.

From Implied Volatility Surface to Quantitative Options Relative Value Trading

Number of pages: 32 Posted: 08 Sep 2012 Last Revised: 16 Sep 2012
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 1,722 (20,482)
Citation 2

Abstract:

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Implied Volatility Surface, Calibration, Options Relative Value, Quantitative Strategies, Statistical Dynamics of The Smile

8.

Deep Learning Based Dynamic Implied Volatility Surface

Number of pages: 31 Posted: 14 Nov 2021
Daniel Alexandre Bloch and Arthur Böök
Université Paris VI Pierre et Marie Curie and ESADE Business School
Downloads 1,378 (28,647)

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Deep Networks, Convolutional LSTM, Dynamic Implied Volatility Surface, Option Pricing and Hedging, Risk Analysis, Volatility Trading

9.

Option Pricing With Machine Learning

Number of pages: 49 Posted: 25 Nov 2019 Last Revised: 05 Dec 2019
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 1,340 (29,839)
Citation 1

Abstract:

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Machine Learning, Supervised Learning, Option Pricing, Calibration

10.

From Implied to Local Volatility Surface

Number of pages: 93 Posted: 26 Jun 2012 Last Revised: 15 Jul 2012
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 1,073 (41,139)

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Implied Volatility Surface, Local Volatility Surface, Calibration, Single Parametric Model, Analytic Greeks, Analytic Stress Scenarios

11.

Multi-Currency Local Volatility Model

Number of pages: 37 Posted: 30 Jun 2008 Last Revised: 24 Sep 2008
Daniel Alexandre Bloch and Yukio Nakashima
Université Paris VI Pierre et Marie Curie and affiliation not provided to SSRN
Downloads 840 (57,889)
Citation 5

Abstract:

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Local Volatility, Cross-Currency, Stochastic Rates, FX options, Malliavin Calculus, Calibration

12.

Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model: 1 The Caplets

Number of pages: 47 Posted: 18 Mar 2009
Daniel Alexandre Bloch and Samson Assefa
Université Paris VI Pierre et Marie Curie and affiliation not provided to SSRN
Downloads 754 (66,820)
Citation 4

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Multi-factor Quadratic Gaussian model, Caps and Swaptions price, Malliavin calculus

13.

Predicting Future Implied Volatility Surface Using TDBP-Learning

Number of pages: 60 Posted: 04 Dec 2020 Last Revised: 29 Jun 2021
Daniel Alexandre Bloch and Arthur Böök
Université Paris VI Pierre et Marie Curie and ESADE Business School
Downloads 750 (67,279)
Citation 1

Abstract:

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Forecasting the Implied Volatility Surface, Reinforcement Learning, Temporal Difference Backpropagation Learning, Conditional Expectations

14.

A Note On Emissions Trading: The Pricing Of Carbon Derivatives

Number of pages: 38 Posted: 03 Nov 2010 Last Revised: 01 Jun 2013
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 698 (73,876)
Citation 2

Abstract:

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Carbon Trading, Carbon Derivatives, Penalty Costs, Risk Premia, Convenience Yields, Arbitrage Opportunities, Jump-Diffusion Models

15.

Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model : 2 the Swaptions

Number of pages: 29 Posted: 30 Jul 2009
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 666 (78,368)
Citation 1

Abstract:

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Swaption Pricing, Markov Processes, Malliavin Calculus, Quadratic Gaussian Models

16.

Neural Networks Based Dynamic Implied Volatility Surface

Number of pages: 25 Posted: 11 Dec 2019 Last Revised: 10 Jan 2020
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 626 (84,725)
Citation 3

Abstract:

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Neural Networks, Supervised Learning, Dynamic Implied Volatility Surface, Option Pricing and Hedging, Risk Analysis, Forecasting, Volatility Trading

17.

American Options: Models and Algorithms

Number of pages: 106 Posted: 07 Aug 2023 Last Revised: 08 Oct 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 601 (89,424)

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American Option Pricing, Optimal Stopping Problem, Machine Learning, Reinforcement Learning

18.

Futuretesting Quantitative Strategies

Number of pages: 281 Posted: 06 Dec 2023 Last Revised: 20 Oct 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 599 (89,616)

Abstract:

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Systematic Trading, Quantitative Strategies, Optimisation, Risk Analysis, Generating Data, Futuretesting

19.

Expanding Forward Starting Options

Number of pages: 24 Posted: 28 May 2008
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 572 (94,983)
Citation 1

Abstract:

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Jump-Diffusion, Forward Start Option, Price Expansion, Malliavin Calculus

20.

Fast Calibration of Options on Variance Swaps

Number of pages: 42 Posted: 28 Mar 2008 Last Revised: 11 Apr 2008
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 550 (99,884)
Citation 1

Abstract:

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Option pricing approximation, Variance Swaps, Malliavin calculus, Affine and Quadratic models

21.

Arbitrage-Free Mix Var Volatility Surfaces and Applications

Number of pages: 39 Posted: 07 Jan 2013
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 526 (105,458)

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implied volatility surface, static arbitrage, calibration, single parametric model, analytic Greeks, analytic stress scenarios

22.

Hedging Climate Risks with Derivatives

Number of pages: 25 Posted: 05 Apr 2010 Last Revised: 11 May 2010
Daniel Alexandre Bloch, James Annan and Justin Bowles
Université Paris VI Pierre et Marie Curie, Frontier Research Center for Global Change (FRCGC) and affiliation not provided to SSRN
Downloads 465 (122,272)
Citation 1

Abstract:

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Climate Derivatives, Climate Risks, Semi-Empirical Sea-Level Model, Climate Default Swap

23.

The Pricing of Carbon Bonds and Other Index-Linked Carbon Derivatives

Number of pages: 16 Posted: 20 Feb 2011 Last Revised: 25 May 2014
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 456 (125,168)
Citation 1

Abstract:

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Carbon Trading, Carbon Bond, Index-Linked Carbon Derivatives, Penalty Costs, Risk Premia, Arbitrage Opportunities

24.

Multi-Currency Fast Stochastic Local Volatility Model

Number of pages: 24 Posted: 25 Oct 2009
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 417 (139,033)
Citation 1

Abstract:

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Stochastic Local Volatility, Stochastic Interest Rates, Calibration

25.

Smiling at Evolution

Number of pages: 24 Posted: 20 Jun 2010
Daniel Alexandre Bloch and Carlos Artemio Coello Coello
Université Paris VI Pierre et Marie Curie and Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)
Downloads 412 (141,047)
Citation 6

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No Arbitrage Volatility Surface in Time and Space, Differential Evolution under Constraints, Special Operators

26.

Fast Calibration of the Affine and Quadratic Models

Number of pages: 43 Posted: 25 Aug 2007 Last Revised: 28 Dec 2021
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 408 (142,553)
Citation 6

Abstract:

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calibration, option pricing approximations, jump-diffusion models, Malliavin calculus

27.

Libor Market Models Within the Affine and Quadratic Models

Number of pages: 33 Posted: 25 Apr 2007
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 403 (144,662)
Citation 3

Abstract:

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libor market model , Affine and Quadratic jump-diffusion models, smile

28.

Stocks And Options Portfolio Optimisation With Reinforcement Learning

Number of pages: 17 Posted: 16 Jan 2024 Last Revised: 23 Jan 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 385 (152,241)

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Portfolio Optimisation, Options and Stocks, Reinforcement Learning, Transformers

29.

Climate Hedging Explained

Number of pages: 38 Posted: 13 Sep 2010 Last Revised: 07 Oct 2010
James Annan, Justin Bowles and Daniel Alexandre Bloch
Frontier Research Center for Global Change (FRCGC), affiliation not provided to SSRN and Université Paris VI Pierre et Marie Curie
Downloads 364 (161,996)

Abstract:

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Climate Risks, Climate Derivatives, Carbon Emissions, Global Warming Risk, Catastrophe Risk, Discounting Rates

30.

Predicting Conditional Expectations For Path-Dependent Events Using TDBP-Learning

Number of pages: 116 Posted: 25 Sep 2020 Last Revised: 02 Nov 2020
Daniel Alexandre Bloch and Arthur Böök
Université Paris VI Pierre et Marie Curie and ESADE Business School
Downloads 362 (162,999)
Citation 1

Abstract:

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Multi-step Prediction Problems, Reinforcement Learning, Temporal Difference Backpropagation Learning, Predictive Representation Theory, Conditional Expectations, Conditional Probabilities

31.

Applying Climate Derivatives to Flood Risk Management

Number of pages: 47 Posted: 20 Jun 2010 Last Revised: 28 May 2013
Daniel Alexandre Bloch, James Annan and Justin Bowles
Université Paris VI Pierre et Marie Curie, Frontier Research Center for Global Change (FRCGC) and affiliation not provided to SSRN
Downloads 362 (162,999)
Citation 4

Abstract:

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Climate Risks, Climate Derivatives, Adaptation, Jump-Diffusion Models, Semi-Empirical Sea Level Models

32.

Hedging Climate Risk: A Global and Local Solution

Number of pages: 37 Posted: 27 Jul 2015 Last Revised: 08 Sep 2015
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 271 (221,415)

Abstract:

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Climate Risk, Climate Derivatives, Hedging

33.

Financing Adaptation to Climate Change with Climate Derivatives

Number of pages: 30 Posted: 10 Jun 2011 Last Revised: 17 Jun 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 269 (223,018)
Citation 3

Abstract:

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Climate Change, Extreme Weather Events, Mitigation, Adaptation, Climate Derivatives

34.

A Review of 'The Pricing of Options and Corporate Liabilities'

Number of pages: 19 Posted: 04 Jan 2023 Last Revised: 02 Feb 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 264 (227,249)

Abstract:

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Option Pricing, Black-Scholes formula, Market Price of Risk, Risk Premia, Incomplete Market

35.

Learning The Pricing Kernel: Applications To Option Pricing

Number of pages: 73 Posted: 29 Mar 2023 Last Revised: 10 May 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 262 (228,873)

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Pricing Kernel, Option Pricing, Machine Learning, Reinforcement Learning

36.

Learning Option Prices With Corporate Events

Quant Finance Working Paper, Forthcoming
Number of pages: 41 Posted: 01 Feb 2023 Last Revised: 13 Apr 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 248 (241,753)

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Deep Reinforcement Learning, Option Pricing, Corporate Events, Discrete Dividends, Earnings, Price Gaps

37.

DeepNet Jump Models: Detecting and Predicting Price Jumps with Variance Norm and Signatures

Number of pages: 48 Posted: 14 Feb 2024 Last Revised: 06 May 2024
Daniel Alexandre Bloch, Bastian Czogallik and Erding Liao
Université Paris VI Pierre et Marie Curie, Independent and Independent
Downloads 243 (247,751)

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Jump Models, Variational Encoder, Predicting Price Jumps, Variance Norm, Signatures, Consecutive Signature Distance

38.

A Note on Calibration of Markov Processes

Number of pages: 34 Posted: 03 Apr 2009
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 237 (252,837)
Citation 6

Abstract:

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Malliavin calculus, stochastic dividend yield, stochastic volatility, calibation

39.

Deep String Matching For Duplicate Detection

Number of pages: 27 Posted: 18 May 2021 Last Revised: 07 Jun 2021
Alexandre Bloch and Daniel Alexandre Bloch
University of Edinburgh - School of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 208 (286,027)
Citation 1

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Duplicate Detection, Natural Language Inference, String Matching, LSTM, GRU, Deep Networks

40.

Financing the Climate Economy

Number of pages: 9 Posted: 11 Jul 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 182 (322,923)

Abstract:

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Climate Change, Climate Risks, Climate Derivatives

41.

Pricing Equity Derivatives Under the Convenience Yield Measure

Number of pages: 54 Posted: 05 Dec 2011 Last Revised: 27 Jun 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 179 (327,779)

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incomplete market, market risk premium, volatility risk, stochastic convenience yield, stochastic

42.

Introducing The Climate Credit Mechanism

Number of pages: 25 Posted: 27 Jun 2013 Last Revised: 03 Jul 2013
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 175 (334,423)

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Global Mean Temperature, Climate Change, Climate Credit Mechanism, Positive Action Mechanism, Options

43.

Option Prices Expansions and Applications

Number of pages: 111 Posted: 13 May 2022 Last Revised: 26 Jul 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 135 (414,377)

Abstract:

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Option Pricing, series expansions, variance swap, implied volatility surface expansions

44.

Impacts of Daily Price Limits on Option Pricing

Number of pages: 96 Posted: 16 Mar 2023 Last Revised: 05 Apr 2023
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 113 (474,424)

Abstract:

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Daily Price Limits, Option Pricing, Deep Reinforcement Learning

45.

Dynamically Characterising Time Series With Relative Moving Moments

Number of pages: 36 Posted: 21 May 2024 Last Revised: 08 Nov 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 88 (561,817)

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Technical Indicators, Moving Average, Moments, Trading Strategies, Pairs Trading

46.

Pricing American Options With OST-TDBP

Number of pages: 28 Posted: 29 Oct 2024 Last Revised: 31 Oct 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 61 (685,333)

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American Options, Optimal Stopping Time Problems, Reinforcement Learning, Extended Temporal Difference Backward Propagation

47.

Affine and Quadratic Jump-Diffusion Models: Application to New Exotic Options in Equity and Hybrid Markets

Number of pages: 332 Posted: 18 Mar 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 56 (712,918)
Citation 1

Abstract:

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Affine and Quadratic models, Characteristic Function, Exotic Equity and Hybrid Products

48.

Optimal Trading With OST-TDBP

Number of pages: 29 Posted: 29 Oct 2024 Last Revised: 31 Oct 2024
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 31 (891,673)

Abstract:

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Stop Loss, Trailing Stop, Liquidation Problem Under Constraints, Optimal Stopping Problem, Reinforcement Learning, Extended Temporal Difference Backward Propagation

49.

The FX Smile

The IUP Journal of Financial Risk Management, Vol. VII, No. 4, pp. 20-33, December 2010
Posted: 12 Feb 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie

Abstract:

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Other Papers (1)

Total Downloads: 65
1.

Estimating Conditional Probabilities From Data - Applications in Industry (Presentation Slides)

Number of pages: 51 Posted: 19 Jul 2021
Alexandre Bloch and Daniel Alexandre Bloch
University of Edinburgh - School of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 65

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Conditional Probabilities, Data, Temporal Difference Backpropagation