Publications
Working Papers
Selected Published Papers
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Computing the SSR Quantitative Finance 25(5) (2025) Python implementation
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A Generalization of the Rational Rough Heston Approximation Quantitative Finance 24(2) (2024) R implementation
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Efficient simulation of affine forward variance models risk.net February (2022) R implementation
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A rough SABR formula Frontiers of Mathematical Finance 1(1), 81-97 (2022)
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Forests, cumulants, martingales Annals of Probability 50(4) 1418-1445 (2022)
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The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem risk.net May (2020)
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Affine Forward Variance Models Finance and Stochastics 23(3) 501-533 (2019)
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Pricing Under Rough Volatility Quantitative Finance 16(6) 887-904 (2016)
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Volatility is Rough Quantitative Finance 18(6) 933-949 (2018)
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Arbitrage-free SVI volatility surfaces Quantitative Finance 14(1) 59-71 (2014)
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No-Dynamic-Arbitrage and Market Impact Quantitative Finance 10(7) 749-759 (2010)
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Zero-Intelligence Realized Variance Estimation Finance and Stochastics 14(2) 249-283 (2010)
All Python implementations by Florian Bourgey.
A complete list of publications is available on Google Scholar.