The following pages link to Antoine Jacquier (Q252420):
Displayed 50 items.
- Two examples of non strictly convex large deviations (Q287838) (← links)
- A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model (Q424681) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- A note on essential smoothness in the Heston model (Q484213) (← links)
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process (Q645698) (← links)
- On the probability of hitting the boundary for Brownian motions on the SABR plane (Q727857) (← links)
- Large deviations for the extended Heston model: the large-time case (Q1627673) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Correction note for ``The large-maturity smile for the Heston model'' (Q1936834) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Volatility in options formulae for general stochastic dynamics (Q2438860) (← links)
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
- Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096) (← links)
- The Smile of Certain Lévy-Type Models (Q2873150) (← links)
- The Small-Maturity Heston Forward Smile (Q2873151) (← links)
- Arbitrage-free SVI volatility surfaces (Q2879012) (← links)
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (Q2889603) (← links)
- An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
- Asymptotic formulae for implied volatility in the Heston model (Q2997309) (← links)
- From characteristic functions to implied volatility expansions (Q3450511) (← links)
- ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (Q3467601) (← links)
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (Q3648638) (← links)
- Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- On VIX futures in the rough Bergomi model (Q4554409) (← links)
- No-arbitrage bounds for the forward smile given marginals (Q4555138) (← links)
- Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
- Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
- Implied Volatility in Strict Local Martingale Models (Q4635246) (← links)
- On VIX futures in the rough Bergomi model (Q4957230) (← links)
- Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles (Q4988551) (← links)
- The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (Q5086415) (← links)
- Small-time moderate deviations for the randomised Heston model (Q5109487) (← links)
- Pathwise moderate deviations for option pricing (Q5109973) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (Q5144187) (← links)
- Pathwise large deviations for the rough Bergomi model: Corrigendum (Q5152528) (← links)
- Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance (Q5162857) (← links)
- Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- Convergence of Heston to SVI (Q5300439) (← links)
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (Q5411908) (← links)
- The Randomized Heston Model (Q5742496) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
- Functional quantization of rough volatility and applications to volatility derivatives (Q6127431) (← links)