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Fabrice has co-authored or co-edited the following books:

The Heston Model and its Extensions in Matlab and C# + Website
Foreword by Steven L. Heston
2013, John Wiley & Sons.

Option Pricing Models and Volatility Using Excel/VBA + CD-ROM
2007, John Wiley & Sons.
F. Rouah and G. Vainberg.

Errata for Option Pricing Models and Volatility Using Excel/VBA
We did our best to ensure that all equations and codes in the book are correct, but as with any technical book, errors are bound to slip into the manuscript and the files. We apologize to our readers, and we encourage them to submit typos, comments, or questions via e-mail.

Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation.
2005, John Wiley & Sons.
G.N. Gregoriou, G. Hubner, N. Papageorgiou, and F. Rouah (Eds.)

Commodity Trading Advisors: Risk, Performance Analysis and Selection.
2004, John Wiley & Sons.
G.N. Gregoriou, V.N. Karavas, F.-S. Lhabitant, and F. Rouah (Eds.)

Commodity Trading Advisors: Risk, Performance Analysis and Selection.
Our CTA book now available in Chinese!
2007, Shanghai University of Finance and Economics Press.
G.N. Gregoriou, V.N. Karavas, F.-S. Lhabitant, and F. Rouah (Eds.)

Hedge Funds: Strategies, Risk Assessment, and Returns.
2004, Beard Books.
G.N. Gregoriou, V.N. Karavas and F. Rouah (Eds.)

Performance Evaluation of Hedge Funds.
2004, Beard Books.
G.N. Gregoriou, F. Rouah and K. Sedzro.


Correction for hedge fund books


Downloadable Presentations*:

Les fonds de couverture: typologie des risques encourus
Seminar on Alternative Investments
Celestar Capital Advisors, LLC
IXIS Corporate & Investment Bank
June 22, 2005 (in French)

Survival and Mortality of Hedge Funds
Chicago Quantitative Alliance Meeting
September 14, 2005


* In PDF format. Requires Adobe Acrobat Reader, if not already installed.