| Metamodel of a large credit risk portfolio in the Gaussian copula model F Bourgey, E Gobet, C Rey SIAM Journal on Financial Mathematics 11 (4), 1098-1136, 2020 | 10 | 2020 |
| Local volatility under rough volatility F Bourgey, S De Marco, PK Friz, P Pigato Mathematical Finance 33 (4), 1119-1145, 2023 | 9 | 2023 |
| Bridging socioeconomic pathways of emission and credit risk F Bourgey, E Gobet, Y Jiao Annals of Operations Research 336 (1), 1197-1218, 2024 | 8 | 2024 |
| Stochastic approximations for financial risk computations F Bourgey Institut Polytechnique de Paris, 2020 | 8 | 2020 |
| Fast exact joint S&P 500/VIX smile calibration in discrete and continuous time F Bourgey, J Guyon Risk, February, 2024 | 7 | 2024 |
| Fast exact joint S&P 500/VIX smile calibration in discrete and continuous time J Guyon, F Bourgey Available at SSRN 4315084, 2022 | 6 | 2022 |
| Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations F Bourgey, S De Marco, E Gobet, A Zhou Monte Carlo Methods and Applications 26 (2), 131-161, 2020 | 6 | 2020 |
| A comparative study of polynomial-type chaos expansions for indicator functions F Bourgey, E Gobet, C Rey SIAM/ASA Journal on Uncertainty Quantification 10 (4), 1350-1383, 2022 | 4 | 2022 |
| Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model F Bourgey, S De Marco arXiv preprint arXiv:2105.05356, 2021 | 4 | 2021 |
| Weak approximations and VIX option price expansions in forward variance curve models F Bourgey, S De Marco, E Gobet Quantitative Finance 23 (9), 1259-1283, 2023 | 3 | 2023 |
| An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio F Bourgey, E Gobet, Y Jiao | | 2024 |
| Smile Dynamics and Rough Volatility F Bourgey, J Delemotte, S De Marco Available at SSRN, 2024 | | 2024 |
| A quantitative approach to climate-related credit risk, using Shared Socioeconomic Pathways F Bourgey, E Gobet, Y Jiao Quant Minds, 2021 | | 2021 |
| Weak approximations and VIX option prices expansions in rough forward variances models F Bourgey, E Gobet, S de Marco Research in Options, 2020 | | 2020 |
| Modeling and computing the adjustment of IM in pricing/hedging derivatives A Agarwal, F Bourgey, E Gobet, J Lopez-Salas, S de Marco, F Noubiagain, ... Quant Minds, 2019 | | 2019 |
Emmanuel GobetEcole Polytechnique在 polytechnique.edu 的电子邮件经过验证
