Fabien Le Floc'h

"Fabien"
 
Votes utiles reçus relativement à des chroniques: 100% (4 de 4)
Lieu: Paris, France
 

Commentaires

Classement des meilleurs critiques: 27 798 - Total des votes Utile : 4 sur 4
Foreign Exchange Option Pricing: A Practitioner's &hellip de Iain Clark
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
Paul Wilmott Introduces Quantitative Finance de Paul Wilmott
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 Vie&hellip de Thomas Mikosch
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)

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