Publications

Working Papers

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