Antoine Jacquier

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Martin FordeKing's College LondonVerified email at kcl.ac.uk
Blanka HorvathUniversity of OxfordVerified email at maths.ox.ac.uk
Jim GatheralProfessor of Mathematics, Baruch College, CUNYVerified email at baruch.cuny.edu
Peter K. FrizProfessor of Mathematics, TU and WIAS BerlinVerified email at math.tu-berlin.de
Professor Aleksandar MijatovicDepartment of Statistics, The University of WarwickVerified email at warwick.ac.uk
Claude MartiniCEO, Zeliade SystemsVerified email at zeliade.com
Alexandre PannierUniversité Paris CitéVerified email at lpsm.paris
Jean-François ChassagneuxProfessor of Applied Mathematics, Université Paris Cité, LPSMVerified email at lpsm.paris
Oleksiy KondratyevImperial College LondonVerified email at imperial.ac.uk
Martin Keller-ResselTU DresdenVerified email at tu-dresden.de
Mikko S. PakkanenReader in Data Science and Quantitative Finance, Imperial College LondonVerified email at imperial.ac.uk
Josef TeichmannETH ZurichVerified email at math.ethz.ch
Matthew LorigUniversity of WashingtonVerified email at uw.edu
Peter TankovENSAE ParisTechVerified email at ensae.fr
Andreas SojmarkAssistant Professor, Department of Statistics, LSEVerified email at lse.ac.uk
Mathieu RosenbaumEcole PolytechniqueVerified email at polytechnique.edu
Masaaki FukasawaOsaka UniversityVerified email at sigmath.es.osaka-u.ac.jp
Christian BayerResearch fellow, Weierstrass Institute, BerlinVerified email at wias-berlin.de
Léo NeufcourtMichigan State UniversityVerified email at msu.edu
Gaoyue GuoAssistant Professor, CentraleSupélec Université Paris-ScalayVerified email at centralesupelec.fr

Antoine Jacquier

Imperial College London

Verified email at imperial.ac.uk - Homepage

Mathematical Finance volatility modelling Stochastic Analysis


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Arbitrage-free SVI volatility surfaces J Gatheral, A Jacquier Quantitative Finance 14 (1), 59-71, 2014	310	2014
Small-time asymptotics for implied volatility under the Heston model M Forde, A Jacquier International Journal of Theoretical and Applied Finance 12 (06), 861-876, 2009	139	2009
The small-time smile and term structure of implied volatility under the Heston model M Forde, A Jacquier, R Lee SIAM Journal on Financial Mathematics 3 (1), 690-708, 2012	125	2012
Convergence of Heston to SVI J Gatheral, A Jacquier Quantitative Finance 11 (8), 1129-1132, 2011	104	2011
Asymptotic behavior of the fractional Heston model H Guennoun, A Jacquier, P Roome, F Shi SIAM Journal on Financial Mathematics 9 (3), 1017-1045, 2018	93	2018
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients JF Chassagneux, A Jacquier, I Mihaylov SIAM Journal on Financial Mathematics 7 (1), 993-1021, 2016	91	2016
The large-maturity smile for the Heston model M Forde, A Jacquier Finance and Stochastics 15 (4), 755-780, 2011	83	2011
Asymptotic formulae for implied volatility in the Heston model M Forde, A Jacquier, A Mijatović Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2010	79	2010
On VIX futures in the rough Bergomi model A Jacquier, C Martini, A Muguruza Quantitative Finance 18 (1), 45-61, 2018	77	2018
Marginal density expansions for diffusions and stochastic volatility II: Applications JD Deuschel, PK Friz, A Jacquier, S Violante Communications on Pure and Applied Mathematics 67 (2), 321-350, 2014	75*	2014
Volatility options in rough volatility models B Horvath, A Jacquier, P Tankov SIAM Journal on Financial Mathematics 11 (2), 437-469, 2020	68	2020
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations JD Deuschel, PK Friz, A Jacquier, S Violante Communications on Pure and Applied Mathematics, 2013	64	2013
Deep PPDEs for rough local stochastic volatility A Jacquier, M Oumgari arXiv preprint arXiv:1906.02551, 2019	61*	2019
Functional central limit theorems for rough volatility B Horvath, A Jacquier, A Muguruza arXiv preprint arXiv:1711.03078, 2017	61*	2017
Small-time asymptotics for implied volatility under a general local-stochastic volatility model M Forde, A Jacquier Applied Mathematical Finance 18 (6), 517-535, 2011	56*	2011
Large deviations and asymptotic methods in finance PK Friz Springer, 2016	53	2016
Pathwise large deviations for the Rough Bergomi model A Jacquier, MS Pakkanen, H Stone Journal of Applied Probability 55 (4), 1078-1092, 2018	52	2018
A quantum algorithm for linear PDEs arising in finance F Fontanela, A Jacquier, M Oumgari SIAM Journal on Financial Mathematics 12 (4), SC98-SC114, 2021	46	2021
Generalized arbitrage-free SVI volatility surfaces G Guo, A Jacquier, C Martini, L Neufcourt SIAM Journal on Financial Mathematics 7 (1), 619-641, 2016	40	2016
Large and moderate deviations for stochastic Volterra systems A Jacquier, A Pannier Stochastic Processes and their Applications 149, 142-187, 2022	39	2022

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