Details about Antoine Jacquier

Access statistics for papers by Antoine Jacquier.

Last updated 2017-12-18. Update your information in the RePEc Author Service.

Short-id: pja132

Working Papers

2023

1. Functional central limit theorems for rough volatility
   Papers, arXiv.org View citations (7)

2018

2. Pathwise large deviations for the Rough Bergomi model
   Papers, arXiv.org View citations (18)
3. The randomised Heston model
   Papers, arXiv.org

2017

4. Asymptotic behaviour of the fractional Heston model
   Papers, arXiv.org View citations (7)
5. Black-Scholes in a CEV random environment
   Papers, arXiv.org View citations (2)
6. How many paths to simulate correlated Brownian motions?
   Papers, arXiv.org
7. On VIX Futures in the rough Bergomi model
   Papers, arXiv.org View citations (5)
8. Optimal liquidation in a Level-I limit order book for large tick stocks
   Papers, arXiv.org View citations (5)
9. Shapes of implied volatility with positive mass at zero
   Papers, arXiv.org View citations (9)
10. The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature
    Working Papers, Barcelona School of Economics
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2017)
11. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
    Papers, arXiv.org

2016

12. An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
    Papers, arXiv.org View citations (8)
13. Generalised arbitrage-free SVI volatility surfaces
    Papers, arXiv.org View citations (14)
14. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
    Papers, arXiv.org View citations (2)
15. No-arbitrage bounds for the forward smile given marginals
    Papers, arXiv.org View citations (1)

2015

16. Asymptotics of forward implied volatility
    Papers, arXiv.org View citations (15)
17. Implied volatility in strict local martingale models
    Papers, arXiv.org
18. Large-Maturity Regimes of the Heston Forward Smile
    Papers, arXiv.org View citations (2)
    See also Journal Article Large-maturity regimes of the Heston forward smile, Stochastic Processes and their Applications, Elsevier (2016) View citations (3) (2016)

2014

19. Asymptotic arbitrage in the Heston model
    Papers, arXiv.org View citations (1)
    See also Journal Article ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) (2015)
20. From characteristic functions to implied volatility expansions
    Papers, arXiv.org

2013

21. Arbitrage-free SVI volatility surfaces
    Papers, arXiv.org View citations (19)
    See also Journal Article Arbitrage-free SVI volatility surfaces, Quantitative Finance, Taylor & Francis Journals (2014) View citations (77) (2014)
22. Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations
    Papers, arXiv.org View citations (16)
23. Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
    Papers, arXiv.org
24. The Small-Maturity Heston Forward Smile
    Papers, arXiv.org View citations (12)
25. The Smile of certain L\'evy-type Models
    Papers, arXiv.org View citations (7)

2012

26. Large deviations for the extended Heston model: the large-time case
    Papers, arXiv.org View citations (6)
    See also Journal Article Large Deviations for the Extended Heston Model: The Large-Time Case, Asia-Pacific Financial Markets, Springer (2014) View citations (3) (2014)

2011

27. A note on essential smoothness in the Heston model
    Papers, arXiv.org View citations (1)
    See also Journal Article A note on essential smoothness in the Heston model, Finance and Stochastics, Springer (2011) View citations (1) (2011)
28. Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
    Papers, arXiv.org View citations (10)

2010

29. Asymptotic formulae for implied volatility in the Heston model
    Papers, arXiv.org View citations (23)
30. Convergence of Heston to SVI
    Papers, arXiv.org View citations (8)
    See also Journal Article Convergence of Heston to SVI, Quantitative Finance, Taylor & Francis Journals (2011) View citations (26) (2011)
31. Variance dispersion and correlation swaps
    Papers, arXiv.org View citations (4)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) View citations (2)

2007

32. Asymptotic skew under stochastic volatility
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics

Journal Articles

2016

1. Large-maturity regimes of the Heston forward smile
   Stochastic Processes and their Applications, 2016, 126, (4), 1087-1123 View citations (3)
   See also Working Paper Large-Maturity Regimes of the Heston Forward Smile, Papers (2015) View citations (2) (2015)

2015

2. ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (08), 1-18
   See also Working Paper Asymptotic arbitrage in the Heston model, Papers (2014) View citations (1) (2014)

2014

3. Arbitrage-free SVI volatility surfaces
   Quantitative Finance, 2014, 14, (1), 59-71 View citations (77)
   See also Working Paper Arbitrage-free SVI volatility surfaces, Papers (2013) View citations (19) (2013)
4. Large Deviations for the Extended Heston Model: The Large-Time Case
   Asia-Pacific Financial Markets, 2014, 21, (3), 263-280 View citations (3)
   See also Working Paper Large deviations for the extended Heston model: the large-time case, Papers (2012) View citations (6) (2012)

2013

5. Correction note for ‘The large-maturity smile for the Heston model’
   Finance and Stochastics, 2013, 17, (1), 223-224

2011

6. A note on essential smoothness in the Heston model
   Finance and Stochastics, 2011, 15, (4), 781-784 View citations (1)
   See also Working Paper A note on essential smoothness in the Heston model, Papers (2011) View citations (1) (2011)
7. Convergence of Heston to SVI
   Quantitative Finance, 2011, 11, (8), 1129-1132 View citations (26)
   See also Working Paper Convergence of Heston to SVI, Papers (2010) View citations (8) (2010)
8. Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
   Applied Mathematical Finance, 2011, 18, (6), 517-535 View citations (14)
9. The large-maturity smile for the Heston model
   Finance and Stochastics, 2011, 15, (4), 755-780 View citations (27)

2010

10. Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
    Applied Mathematical Finance, 2010, 17, (3), 241-259 View citations (9)

2009

11. SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (06), 861-876 View citations (42)