Fabien Le Floc'h

Finally a book that deals with practical issues, 15 octobre 2012

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… Lire la suite

Good overall intro to quantitative finance techniques, 24 juillet 2012

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.

Impressive Introduction to Stochastic Calculus, 24 juillet 2012

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)