Florian Bourgey
Bloomberg L.P.
Florian Bourgey is a quantitative researcher in the Quantitative Research group at Bloomberg L.P., New York. He holds a PhD in applied mathematics from Ecole Polytechnique, Paris. His research focuses on Monte Carlo simulations, Stochastic Approximations, Mathematical Finance, and Machine Learning.
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Articles by Florian Bourgey
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.