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.

Articles by Florian Bourgey

Cutting Edge

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

31 Jan 2024

Original research

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.

27 Sep 2022