Articles by Fabien Le Floc’h
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…
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.
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.