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Classement des meilleurs critiques: 258.843
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Commentaires écrits par
Fabien Le Floc'h "Fabien" (Paris, France)

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Foreign Exchange Option Pricing: A Practitioners Guide
Foreign Exchange Option Pricing: A Practitioners Guide
par Iain J. Clark
Edition : Relié
Prix : EUR 88,03

5.0 étoiles sur 5 Finally a book that deals with practical issues, 15 octobre 2012
Ce commentaire fait référence à cette édition : Foreign Exchange Option Pricing: A Practitioners Guide (Relié)
I am no expert in FX derivatives trading, but I enjoyed this book a lot nonetheless.

What I like:
- Some interesting local volatility Monte Carlo simulations tricks. One of the rare references to mention the use of Milstein scheme and to worry about local volatility discretization.
- Good presentation of implied volatility surface interpolation with the use case of SABR. Again this is something that is rarely discussed but is a real practical issue.
- Barrier bending: good description on how to obtain useful bid/ask prices for barrier options.

Not so great:
- Variance reduction via control variate presentation: the formula given are a bit too simplistic, and nothing there of practical use contrary to the rest of the book.


Paul Wilmott Introduces Quantitative Finance
Paul Wilmott Introduces Quantitative Finance
par Paul Wilmott
Edition : Broché
Prix : EUR 63,68

4.0 étoiles sur 5 Good overall intro to quantitative finance techniques, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Paul Wilmott Introduces Quantitative Finance (Broché)
It presents Monte Carlo, Finite difference basic concepts, as well as other techniques. It also encourages you to try out what's in: it is very practical in that regard. However, despite the size (which is partly due to the typography & presentation) it does not go deep into each subject. The 3 volumes version is better for that purpose, especially on finite difference methods.


Elementary Stochastic Calculus With Finance in View
Elementary Stochastic Calculus With Finance in View
par Thomas Mikosch
Edition : Relié
Prix : EUR 54,97

5.0 étoiles sur 5 Impressive Introduction to Stochastic Calculus, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Elementary Stochastic Calculus With Finance in View (Relié)
This book is short, but it presents a lot of important and basic maths to understand Stochastic Calculus.

Longer books tend to make you forget the interesting bits, this book has distilled everything and what's left is the very important core. Also it's very well written (easy and interesting to follow)


Ghost in the Wires: My Adventures as the World's Most Wanted Hacker
Ghost in the Wires: My Adventures as the World's Most Wanted Hacker
par Steve Wozniak
Edition : Relié

4.0 étoiles sur 5 Surprisingly interesting, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Ghost in the Wires: My Adventures as the World's Most Wanted Hacker (Relié)
I have finished this book much earlier than I expected, it definitely grabs your attention. It seems crazy that some people can go that far into the virtual world.


Monte Carlo Methods in Financial Engineering
Monte Carlo Methods in Financial Engineering
par Paul Glasserman
Edition : Relié
Prix : EUR 62,63

5.0 étoiles sur 5 The reference on Monte Carlo in Finance, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Monte Carlo Methods in Financial Engineering (Relié)
This is the book that will make you understand all the aspects of Monte-Carlo simulations in Finance. It presents Quasi Monte Carlo aspects very well. It also has many practical examples.


Monte Carlo Statistical Methods
Monte Carlo Statistical Methods
par George Casella
Edition : Relié
Prix : EUR 79,22

2.0 étoiles sur 5 Bordelique, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Monte Carlo Statistical Methods (Relié)
The content is like a collection of papers. It is a very difficult read for a beginner in the field.


Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-dependent Problems
Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-dependent Problems
par Randall LeVeque
Edition : Broché
Prix : EUR 68,36

5.0 étoiles sur 5 Best book on finite differences?, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
I enjoyed this book a lot. Various schemes are presented, some are rarely presented anywhere else. Futhermore the notion of stability (A and L stabilities) is very well presented.

Also the text is a pleasure to read.


Stochastic Differential Equations: An Introduction with Applications (Universitext)
Stochastic Differential Equations: An Introduction with Applications (Universitext)
par Bernt Oksendal
Edition : Broché
Prix : EUR 26,57

Aucun internaute (sur 1) n'a trouvé ce commentaire utile :
3.0 étoiles sur 5 A standard but not for me, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Often a reference to start stochastic calculus, I did not enjoy that book as much - it assumes some prelimanary knowledge I did not have or I forgot, and I did not enjoy the maths presentation. I prefer Shreve "Stochastic Calculus for Finance vol 2" and Mikosh books by far.


Dynamic Hedging: Managing Vanilla and Exotic Options
Dynamic Hedging: Managing Vanilla and Exotic Options
par Nassim Nicholas Taleb
Edition : Relié
Prix : EUR 109,77

5.0 étoiles sur 5 Need several readings to appreciate, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Dynamic Hedging: Managing Vanilla and Exotic Options (Relié)
I did not enjoy that book as much when I was still unfamiliar with the field: maybe it is a bit disorganised. Some of it is however very accessible to beginners. When I go back to it I always appreciate it a bit more than the previous time. It deals with important subjects in derivatives trading that are rarely presented anywhere else.


Stochastic Calculus for Finance II: Continuous-Time Models
Stochastic Calculus for Finance II: Continuous-Time Models
par Steven E. Shreve
Edition : Relié
Prix : EUR 49,81

5.0 étoiles sur 5 My favorite stochastic calculus book, 24 juillet 2012
Achat vérifié(De quoi s'agit-il ?)
Ce commentaire fait référence à cette édition : Stochastic Calculus for Finance II: Continuous-Time Models (Relié)
This is my favorite stochastic calculus book. It reads like a good maths lesson. I did not enjoy the first volume as much (sold separately). Another good shorter intro is the book from Mikosh.


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