Florian Bourgey

Publication Activity (10 Years)

Years Active: 2020-2024
Publications (10 Years): 4

Top Topics

Monte Carlo Methods

Evaluation Method

Top Venues

Ann. Oper. Res.

SIAM/ASA J. Uncertain. Quantification

Monte Carlo Methods Appl.

SIAM J. Financial Math.

Publications

Florian Bourgey, Emmanuel Gobet, Ying Jiao
emission and credit risk. Ann. Oper. Res. 336 (1-2) (2024)
Florian Bourgey, Emmanuel Gobet, Clément Rey
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions. SIAM/ASA J. Uncertain. Quantification 10 (4) (2022)
Florian Bourgey, Emmanuel Gobet, Clément Rey
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. SIAM J. Financial Math. 11 (4) (2020)
Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. 26 (2) (2020)