Portfolio
Fabrice has co-authored or co-edited the following books:
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The Heston Model and its Extensions in Matlab and C# + Website |
Option Pricing Models and Volatility Using Excel/VBA + CD-ROM |
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Errata for Option Pricing Models and Volatility Using Excel/VBA |
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Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation. |
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Commodity Trading Advisors: Risk, Performance Analysis and Selection. |
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Commodity Trading Advisors: Risk, Performance Analysis and Selection. |
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Hedge Funds: Strategies, Risk Assessment, and Returns. |
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Performance Evaluation of Hedge Funds. |
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.