Finite difference techniques for arbitrage-free SABR F Le Floch, GJ Kennedy Journal of Computational Finance, Forthcoming, 2016 | 30 | 2016 |
TR-BDF2 for stable American option pricing F Le Floc’h J. Comput. Finance 17 (3156.8), 2014 | 21 | 2014 |
Stable interpolation for the yield curve F Le Floc'h SSRN, 2015 | 15 | 2015 |
The BP Crisis as a'Preventable Surprise': Lessons for Institutional Investors R Thamotheram, L Floc'h Rotman International Journal of Pension Management 5 (1), 68, 2012 | 15 | 2012 |
Explicit SABR calibration through simple expansions L Floc'h, GJ Kennedy Available at SSRN 2467231, 2014 | 12 | 2014 |
An adaptive Filon quadrature for stochastic volatility models L Floc'h Journal of Computational Finance 22 (3), 2018 | 11 | 2018 |
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I F Le Floc’h, CW Oosterlee Decisions in Economics and Finance 42 (2), 679-714, 2019 | 9 | 2019 |
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II F Le Floc’h, CW Oosterlee Risks 7 (1), 30, 2019 | 9 | 2019 |
Issues of Nelder-Mead simplex optimisation with constraints L Floc'h Available at SSRN 2097904, 2012 | 8 | 2012 |
Fourier integration and stochastic volatility calibration L Floc'h Available at SSRN 2362968, 2014 | 7 | 2014 |
Variance swap replication: Discrete or continuous? F Le Floc’h Journal of Risk and Financial Management 11 (1), 11, 2018 | 5 | 2018 |
Fast and Accurate Analytic Basis Point Volatility L Floc'h Available at SSRN 2420757, 2016 | 5 | 2016 |
More stochastic expansions for the pricing of vanilla options with cash dividends FL Floc'h arXiv preprint arXiv:2106.12051, 2021 | 3 | 2021 |
Initial guesses for SVI calibration F Le Floc'h SSRN, 2014 | 3 | 2014 |
Roughness of the Implied Volatility FL Floc'h arXiv preprint arXiv:2207.04930, 2022 | 2* | 2022 |
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing FL Floc'h arXiv preprint arXiv:2005.13252, 2020 | 2 | 2020 |
Barrier Options Under Negative Rates in Black-Scholes L Floc'h, A Prüll Available at SSRN 2501907, 2014 | 2 | 2014 |
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model FL Floc'h arXiv preprint arXiv:2309.00540, 2023 | 1 | 2023 |
Pricing American options with the Runge–Kutta–Legendre finite difference scheme F Le Floc’h International Journal of Theoretical and Applied Finance 24 (03), 2150018, 2021 | 1 | 2021 |
More Robust Pricing of European Options Based on Fourier Cosine Series Expansions FL Floc'h arXiv preprint arXiv:2005.13248, 2020 | 1 | 2020 |