2023
Local volatility under rough volatility
Florian Bourgey, Stefano De Marco, Peter K. Friz, Paolo Pigato
Mathematical Finance OATop-listed
7
cites
Faculty
Florian Bourgey is a scholar at New York University. Research spans Credit Risk and Financial Regulations, Financial Risk and Volatility Modeling, Stochastic processes and financial applications. 27 works, 34 citations (h-index 4).
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Affiliation on publications · Baruch College
Florian Bourgey, Stefano De Marco, Peter K. Friz, Paolo Pigato
Mathematical Finance OATop-listed
Florian Bourgey, Emmanuel Gobet, Clément Rey
SIAM Journal on Financial Mathematics OATop-listed
Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou
Monte Carlo Methods and ApplicationsCore