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.
An arbitrage-free model for exotic options that captures smiles and futures is presented
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.