Antoine Jacquier
TitleCited byYear
Arbitrage-free SVI volatility surfaces
J Gatheral, A Jacquier
Quantitative Finance 14 (1), 59-71, 2014
1312014
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
1132009
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
882012
Convergence of Heston to SVI
J Gatheral, A Jacquier
Quantitative Finance 11 (8), 1129-1132, 2011
732011
The large-maturity smile for the Heston model
M Forde, A Jacquier
Finance and Stochastics 15 (4), 755-780, 2011
712011
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
682010
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
55*2014
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
452013
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
41*2011
Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
JD Deuschel, PK Friz, A Jacquier, S Violante
Communications on Pure and Applied Mathematics, 2013
402013
Asymptotic behaviour of the fractional Heston model
H Guennoun, A Jacquier, P Roome
arXiv preprint arXiv:1411.7653, 2014
35*2014
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
A Jacquier, M Keller-Ressel, A Mijatović
Stochastics: An International Journal of Probability and Stochastic …, 2013
302013
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
252016
Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
M Forde, A Jacquier
Applied Mathematical Finance 17 (3), 241-259, 2010
242010
Variance dispersion and correlation swaps
A Jacquier, S Slaoui
arXiv preprint arXiv:1004.0125, 2010
242010
Asymptotics of forward implied volatility
A Jacquier, P Roome
arXiv preprint arXiv:1212.0779, 2012
232012
On VIX Futures in the rough Bergomi model
A Jacquier, C Martini, A Muguruza
arXiv preprint arXiv:1701.04260, 2017
212017
Large deviations and asymptotic methods in finance
PK Friz
Springer, 2016
212016
Pathwise large deviations for the Rough Bergomi model
A Jacquier, MS Pakkanen, H Stone
Journal of Applied Probability 55 (4), 1078-1092, 2018
192018
The small-maturity Heston forward smile
A Jacquier, P Roome
SIAM Journal on Financial Mathematics 4 (1), 831-856, 2013
192013
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Articles 1–20