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Antoine Jacquier

Identifiers

  • name variant Antoine Jacquier 0.60 · backfill

Papers (34)

  1. Quantitative Universal Approximation for Noisy Quantum Neural Networks quant-ph · 2026 · author #2
  2. Rough volatility, path-dependent PDEs and weak rates of convergence math.PR · 2023 · author #2
  3. Stacked Monte Carlo for option pricing q-fin.CP · 2019 · author #1
  4. Pathwise moderate deviations for option pricing q-fin.MF · 2018 · author #1
  5. Volatility options in rough volatility models q-fin.PR · 2018 · author #2
  6. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature q-fin.PR · 2017 · author #2
  7. How many paths to simulate correlated Brownian motions? math.PR · 2017 · author #1
  8. Pathwise large deviations for the Rough Bergomi model math.PR · 2017 · author #1
  9. On VIX Futures in the rough Bergomi model q-fin.PR · 2017 · author #1
  10. Optimal liquidation in a Level-I limit order book for large tick stocks q-fin.TR · 2017 · author #1
  11. On the probability of hitting the boundary for Brownian motions on the SABR plane math.PR · 2016 · author #3
  12. The randomised Heston model q-fin.PR · 2016 · author #1
  13. No-arbitrage bounds for the forward smile given marginals q-fin.PR · 2016 · author #2
  14. Implied volatility in strict local martingale models q-fin.MF · 2015 · author #1
  15. Black-Scholes in a CEV random environment q-fin.PR · 2015 · author #1
  16. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics q-fin.PR · 2015 · author #3
  17. Asymptotic behaviour of the fractional Heston model q-fin.MF · 2014 · author #2
  18. Two examples of non strictly convex large deviations math.PR · 2014 · author #2
  19. Large-Maturity Regimes of the Heston Forward Smile q-fin.PR · 2014 · author #1
  20. An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients q-fin.CP · 2014 · author #2
  21. Shapes of implied volatility with positive mass at zero q-fin.PR · 2013 · author #3
  22. The Small-Maturity Heston Forward Smile q-fin.PR · 2013 · author #1
  23. Asymptotic arbitrage in the Heston model q-fin.PR · 2013 · author #2
  24. Asymptotics of forward implied volatility q-fin.PR · 2012 · author #1
  25. Generalised arbitrage-free SVI volatility surfaces q-fin.PR · 2012 · author #2
  26. The Smile of certain L\'evy-type Models q-fin.CP · 2012 · author #1
  27. From characteristic functions to implied volatility expansions q-fin.CP · 2012 · author #1
  28. Arbitrage-free SVI volatility surfaces q-fin.PR · 2012 · author #2
  29. Large deviations for the extended Heston model: the large-time case q-fin.PR · 2012 · author #1
  30. Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models q-fin.PR · 2011 · author #1
  31. A note on essential smoothness in the Heston model q-fin.PR · 2011 · author #2
  32. Variance dispersion and correlation swaps q-fin.PR · 2010 · author #1
  33. Convergence of Heston to SVI q-fin.PR · 2010 · author #2
  34. Asymptotic formulae for implied volatility in the Heston model q-fin.PR · 2009 · author #2

Mentions

  • 2304.03042 #2 · arxiv_oai · confidence 0.70 Antoine Jacquier
  • 1303.4268 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1302.6491 #2 · backfill · confidence 0.70 Antoine Jacquier
  • 1212.0779 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1210.7111 #2 · backfill · confidence 0.70 Antoine Jacquier
  • 1207.1630 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1207.0233 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1204.0646 #2 · backfill · confidence 0.70 Antoine Jacquier
  • 1203.5020 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1108.3998 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1107.4881 #2 · backfill · confidence 0.70 Antoine Jacquier
  • 2604.02064 #2 · arxiv_oai · confidence 0.70 Antoine Jacquier
  • 1004.0125 #1 · backfill · confidence 0.70 Antoine Jacquier
  • 1002.3633 #2 · backfill · confidence 0.70 Antoine Jacquier
  • 0911.2992 #2 · backfill · confidence 0.70 Antoine Jacquier

Frequent Coauthors