Fabien Le Floc’h

Calypso Technology

Fabien Le Floc'h is a Principal Financial Engineer at Calypso Technology in Paris. He has been working mainly with equity derivatives, cross-asset exotics and interest rates derivatives for the last 8 years. Prior to that, he worked for various startups in San Francisco and Los Angeles. Fabien received his master of science at the Grande Ecole Supélec in 1999. His main research interests are stochastic and local volatility models as well as practical equity derivatives models and techniques.

Articles by Fabien Le Floc’h

Original research

Numerical techniques for the Heston collocated volatility model

In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…

06 Jan 2021

Original research

An adaptive Filon quadrature for stochastic volatility models

In this paper, the author describes a simple adaptive Filon method that performs better and more accurately than various popular alternatives for pricing options under the Heston model.

20 Dec 2018

Original research

Finite difference techniques for arbitrage-free SABR

This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.

15 Aug 2016