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Fabien Le Floc'h
Fabien Le Floc'h
TU Delft
Verified email at 2ipi.com
Title
Cited by
Cited by
Year
Finite difference techniques for arbitrage-free SABR
F Le Floch, GJ Kennedy
Journal of Computational Finance, Forthcoming, 2016
302016
TR-BDF2 for stable American option pricing
F Le Floc’h
J. Comput. Finance 17 (3156.8), 2014
212014
Stable interpolation for the yield curve
F Le Floc'h
SSRN, 2015
152015
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
152012
Explicit SABR calibration through simple expansions
L Floc'h, GJ Kennedy
Available at SSRN 2467231, 2014
122014
An adaptive Filon quadrature for stochastic volatility models
L Floc'h
Journal of Computational Finance 22 (3), 2018
112018
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
92019
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
F Le Floc’h, CW Oosterlee
Risks 7 (1), 30, 2019
92019
Issues of Nelder-Mead simplex optimisation with constraints
L Floc'h
Available at SSRN 2097904, 2012
82012
Fourier integration and stochastic volatility calibration
L Floc'h
Available at SSRN 2362968, 2014
72014
Variance swap replication: Discrete or continuous?
F Le Floc’h
Journal of Risk and Financial Management 11 (1), 11, 2018
52018
Fast and Accurate Analytic Basis Point Volatility
L Floc'h
Available at SSRN 2420757, 2016
52016
More stochastic expansions for the pricing of vanilla options with cash dividends
FL Floc'h
arXiv preprint arXiv:2106.12051, 2021
32021
Initial guesses for SVI calibration
F Le Floc'h
SSRN, 2014
32014
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
22020
Barrier Options Under Negative Rates in Black-Scholes
L Floc'h, A Prüll
Available at SSRN 2501907, 2014
22014
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
FL Floc'h
arXiv preprint arXiv:2309.00540, 2023
12023
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
12021
More Robust Pricing of European Options Based on Fourier Cosine Series Expansions
FL Floc'h
arXiv preprint arXiv:2005.13248, 2020
12020
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