Daniel Alexandre Bloch

Université Paris VI Pierre et Marie Curie

175 Rue du Chevaleret

Paris, 75013

France

SCHOLARLY PAPERS

38

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Top 1,397

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28,443

SSRN CITATIONS
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SSRN RANKINGS

Top 20,567

in Total Papers Citations

6

CROSSREF CITATIONS

43

Scholarly Papers (38)

1.

A Practical Guide to Quantitative Portfolio Trading

Number of pages: 856 Posted: 31 Dec 2014 Last Revised: 23 Mar 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 5,638 (1,945)
Citation 1

Abstract:

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Systematic Trading, Quantitative Portfolio, Quantitative Strategy, Multifractal Markets

2.

Machine Learning: Models And Algorithms

Machine Learning: Models And Algorithms, Quantitative Analytics, 2018
Number of pages: 1276 Posted: 07 Jan 2019 Last Revised: 10 Dec 2021
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 2,955 (5,951)

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

3.

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 2,608 (7,232)
Citation 11

Abstract:

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

4.

Recipe for Quantitative Trading with Machine Learning

Number of pages: 269 Posted: 18 Dec 2019 Last Revised: 02 Apr 2020
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 2,370 (8,431)
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 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 1,627 (15,462)

Abstract:

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

6.

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 1,356 (20,310)
Citation 2

Abstract:

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

7.

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 950 (34,111)

Abstract:

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

8.

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 765 (45,986)
Citation 1

Abstract:

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Machine Learning, Supervised Learning, Option Pricing, Calibration

9.

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 756 (46,652)
Citation 5

Abstract:

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

10.

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 693 (52,396)
Citation 3

Abstract:

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

11.

Option Pricing: Theory and Applications

Number of pages: 2183 Posted: 21 Oct 2019 Last Revised: 11 Apr 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 630 (59,199)

Abstract:

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

12.

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 583 (65,348)
Citation 1

Abstract:

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

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 546 (71,001)

Abstract:

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

14.

Expanding Forward Starting Options

Number of pages: 24 Posted: 28 May 2008
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 521 (75,220)
Citation 1

Abstract:

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

15.

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 512 (76,860)
Citation 1

Abstract:

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

16.

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 469 (85,505)

Abstract:

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

17.

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 440 (92,357)

Abstract:

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

18.

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 403 (101,955)
Citation 1

Abstract:

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

19.

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 402 (102,257)

Abstract:

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

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 379 (109,742)
Citation 1

Abstract:

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

21.

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 377 (110,070)
Citation 2

Abstract:

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

22.

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 372 (111,659)
Citation 1

Abstract:

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Stochastic Local Volatility, Stochastic Interest Rates, Calibration

23.

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 357 (116,941)
Citation 4

Abstract:

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

24.

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 353 (118,438)
Citation 7

Abstract:

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

25.

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 348 (120,291)
Citation 3

Abstract:

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

26.

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 310 (136,060)

Abstract:

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

27.

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 271 (156,304)
Citation 1

Abstract:

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

28.

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 271 (156,304)
Citation 4

Abstract:

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

29.

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 209 (200,734)
Citation 2

Abstract:

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

30.

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 206 (203,464)
Citation 6

Abstract:

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Malliavin calculus, stochastic dividend yield, stochastic volatility, calibation

31.

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 203 (206,265)

Abstract:

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Climate Risk, Climate Derivatives, Hedging

32.

Financing the Climate Economy

Number of pages: 9 Posted: 11 Jul 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 152 (264,146)

Abstract:

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Climate Change, Climate Risks, Climate Derivatives

33.

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 136 (288,392)

Abstract:

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

34.

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 104 (349,264)

Abstract:

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

35.

Option Prices Expansions and Applications

Number of pages: 104 Posted: 13 May 2022 Last Revised: 15 Jun 2022
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 22 (677,703)

Abstract:

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

36.

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 15 (732,889)

Abstract:

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

37.

Pricing Equity Derivatives Under the Convenience Yield Measure

Number of pages: 54 Posted: 05 Dec 2011
Daniel Alexandre Bloch
Université Paris VI Pierre et Marie Curie
Downloads 134

Abstract:

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

38.

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: 35
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 35

Abstract:

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Conditional Probabilities, Data, Temporal Difference Backpropagation