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