Preprints

  1. Bourgey, F., Gobet, E., & Jiao, Y. (2024). An efficient SSP-based methodology for assessing climate risks of a large credit portfolio. HAL

  2. Bourgey, F., De Marco, S., & Delemotte, J. (2024). Smile Dynamics and Rough Volatility. SSRN

  3. Bourgey, F., Delemotte, J., & De Marco, S. (2025). Refined Expansions of the Skew-Stickiness Ratio in Stochastic Volatility Models. SSRN

  4. Bourgey, F., & Gatheral, J. (2025). The SSR under Quadratic Rough Heston. SSRN

  5. Bourgey, F., Noble, P., Petursson, I., Rosenbaum, M., & Szymanski, G. (2026). The Quadratic Rough Heston+ Model for Short-Dated Options. SSRN

Publications

  1. Bourgey, F., De Marco, S., Gobet, E., & Zhou, A. (2020). Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations. Monte Carlo Methods and Applications, 26(2), 131–161. Journal HAL

  2. Bourgey, F., Gobet, E., & Rey, C. (2020). Metamodel of a large credit risk portfolio in the Gaussian copula model. SIAM Journal on Financial Mathematics, 11(4), 1098–1136. Journal HAL

  3. Bourgey, F., Gobet, E., & Jiao, Y. (2022). Bridging socioeconomic pathways of CO₂ emission and credit risk. Annals of Operations Research. Journal HAL

  4. Bourgey, F., Gobet, E., & Rey, C. (2022). A comparative study of polynomial-type chaos expansions for indicator functions. SIAM/ASA Journal on Uncertainty Quantification, 10(4), 1350–1383. Journal HAL

  5. Bourgey, F., & De Marco, S. (2022). Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model. Journal of Computational Finance, 26(2). Journal arXiv

  6. Bourgey, F., De Marco, S., Friz, P., & Pigato, P. (2023). Local volatility under rough volatility. Mathematical Finance, 33, 1119–1145. Journal arXiv

  7. Bourgey, F., De Marco, S., & Gobet, E. (2023). Weak approximations and VIX option price expansions in forward variance curve models. Quantitative Finance, 23(9), 1259–1283. Journal arXiv

  8. Bourgey, F., & Guyon, J. (2024). Fast exact joint S&P 500/VIX smile calibration in discrete and continuous time. Risk Magazine. Journal SSRN

Miscellaneous

  1. Bourgey, F. (2020). Stochastic approximations for financial risk computations. Doctoral dissertation, Institut Polytechnique de Paris. HAL