Daniel Alexandre Bloch

Université Paris VI Pierre et Marie Curie

175 Rue du Chevaleret

Paris, 75013

France

SCHOLARLY PAPERS

29

DOWNLOADS
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SSRN RANKINGS

Top 1,754

in Total Papers Downloads

17,127

CITATIONS
Rank 13,799

SSRN RANKINGS

Top 13,799

in Total Papers Citations

27

Ideas:
“  I am currently writing a book which is a course on mathematical finance bridging the world of probability and stochastic calculus to that of physics. I am also introducing a new technique used on images processing which will take option pricing to a new level.  ”

Scholarly Papers (29)

1.

A Practical Guide to Quantitative Portfolio Trading

Number of pages: 842 Posted: 31 Dec 2014 Last Revised: 19 Nov 2015
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 4,348 (1,815)

Abstract:

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Systematic Trading, Quantitative Portfolio, Quantitative Strategy, Multifractal Markets

2.

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 2,293 (5,448)
Citation 3

Abstract:

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

3.

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 1,046 (19,310)

Abstract:

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

4.

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 897 (24,284)

Abstract:

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

5.

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 840 (26,733)

Abstract:

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

6.

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 696 (34,557)
Citation 3

Abstract:

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

7.

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 645 (38,256)
Citation 1

Abstract:

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

8.

Expanding Forward Starting Options

Number of pages: 24 Posted: 28 May 2008
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 496 (53,719)
Citation 2

Abstract:

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

9.

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 493 (54,110)
Citation 1

Abstract:

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

10.

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 489 (54,714)

Abstract:

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

11.

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 418 (66,383)

Abstract:

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

12.

Machine Learning: Models And Algorithms

Machine Learning: Models And Algorithms, Quantitative Analytics, 2018
Number of pages: 606 Posted: 07 Jan 2019 Last Revised: 10 Mar 2019
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 411 (68,137)

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

13.

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 402 (69,604)
Citation 2

Abstract:

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

14.

Recipe for Quantitative Trading with Machine Learning

Number of pages: 244 Posted: 22 Sep 2018 Last Revised: 09 Nov 2018
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 356 (80,655)

Abstract:

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

15.

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 347 (82,594)

Abstract:

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

16.

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 339 (84,824)
Citation 3

Abstract:

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Stochastic Local Volatility, Stochastic Interest Rates, Calibration

17.

Fast Calibration of the Affine and Quadratic Models

Number of pages: 42 Posted: 25 Aug 2007 Last Revised: 19 May 2016
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 333 (86,552)
Citation 4

Abstract:

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

18.

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 333 (86,552)
Citation 2

Abstract:

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

19.

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 312 (93,103)
Citation 1

Abstract:

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

20.

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 301 (96,796)

Abstract:

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

21.

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 253 (116,417)

Abstract:

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

22.

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 234 (125,876)
Citation 2

Abstract:

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

23.

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 183 (158,805)
Citation 3

Abstract:

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Malliavin calculus, stochastic dividend yield, stochastic volatility, calibation

24.

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 162 (176,710)

Abstract:

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

25.

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 139 (200,671)

Abstract:

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Climate Risk, Climate Derivatives, Hedging

26.

Financing the Climate Economy

Number of pages: 9 Posted: 11 Jul 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 133 (207,830)

Abstract:

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Climate Change, Climate Risks, Climate Derivatives

27.

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 114 (233,497)

Abstract:

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

28.

Pricing Equity Derivatives Under the Convenience Yield Measure

Number of pages: 56 Posted: 05 Dec 2011 Last Revised: 12 Dec 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 114 (233,497)

Abstract:

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

29.

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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