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Antoine Jacquier

SSRN Author Rank: 3,448 by Downloads and 15,261 by Citations

 Lecturer in Mathematics
 

Imperial College London


 South Kensington Campus
 London SW7 2AZ, SW7 2AZ
 United Kingdom
 HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/
 email address

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. Antoine Jacquier's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,336
Total
Citations
23
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Jacquier, Antoine
Imperial College London
SLAOUI, SAAD
affiliation not provided to SSRN
Posted:
08 Jul 07
Last Revised:
17 Feb 10
2,686
(2,868)
2

2.  
Arbitrage-Free SVI Volatility Surfaces | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of Pages in PDF File: 27
Gatheral, Jim
CUNY Baruch College
Jacquier, Antoine
Imperial College London
Posted:
03 Apr 12
Last Revised:
15 Jan 14
2,313
(2,610)
7

3.  
Convergence of Heston to SVI | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of Pages in PDF File: 5
Gatheral, Jim
CUNY Baruch College
Jacquier, Antoine
Imperial College London
Posted:
19 Feb 10
Last Revised:
31 Jul 11
913
(16,779)
8

4.  
Asymptotic Skew Under Stochastic Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Birkbeck Working Paper in Economics & Finance No. 0703
Number of Pages in PDF File: 9
Jacquier, Antoine
Imperial College London
Posted:
09 Jul 07
363
(57,746)
 

5.  
Jacquier, Antoine
Imperial College London
Martini, Claude
Zeliade Systems
Posted:
28 Feb 11
Last Revised:
07 Mar 11
296
(68,217)
 

6.  
Guo, Gaoyue
Ecole Polytechnique, Paris
Jacquier, Antoine
Imperial College London
Martini, Claude
Zeliade Systems
Neufcourt, Leo
Columbia University
Posted:
27 Oct 12
Last Revised:
28 May 16
168
(109,296)
2

7.  
Jacquier, Antoine
Imperial College London
Posted:
08 Oct 08
Last Revised:
02 Dec 09
104
(194,269)
 

8.  
Gulisashvili, Archil
Ohio University
Horvath, Blanka
ETH Zurich - Department of Mathematics
Jacquier, Antoine
Imperial College London
Posted:
13 Feb 15
Last Revised:
10 Apr 16
103
(123,864)
 

9.  
Guennoun, Hamza
Societe Generale
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
30 Nov 14
91
(179,701)
 

10.  
Asymptotics of Forward Implied Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, 6(1): 307-351, 2015.
Number of Pages in PDF File: 37
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
05 Dec 12
Last Revised:
04 Jun 15
67
(242,604)
2

11.  
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Mar 15
Last Revised:
07 Jul 15
52
(262,624)
 

12.  
Jacquier, Antoine
Imperial College London
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
01 Jul 12
Last Revised:
09 Jul 13
48
(278,204)
 

13.  
Jacquier, Antoine
Imperial College London
Keller-Ressel, Martin
Dresden University of Technology - Department of Mathematics
Mijatovic, Aleksandar
Imperial College London
Posted:
30 Aug 11
36
(326,816)
1

14.  
Jacquier, Antoine
Imperial College London
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
08 Jul 12
Last Revised:
19 Apr 13
33
(336,303)
1

15.  
The Small-Maturity Heston Forward Smile | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, 4(1): 831-856, 2013.
Number of Pages in PDF File: 23
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
19 Mar 13
Last Revised:
21 Feb 15
31
(336,303)
 

16.  
Jacquier, Antoine
Imperial College London
Mijatovic, Aleksandar
Imperial College London
Posted:
24 Mar 12
26
(365,511)
 

17.  
Two Examples of Non Strictly Convex Large Deviations | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Electronic Communications in Probability
Number of Pages in PDF File: 11
De Marco, Stefano
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
28 Nov 14
Last Revised:
01 May 16
24
(357,511)
 

18.  
Large-Maturity Regimes of the Heston Forward Smile | Show Abstract | Download This Paper | Open PDF in Browser |
Stochastic Processes and Their Applications, 126: 1087-1123, 2016
Number of Pages in PDF File: 30
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Oct 14
Last Revised:
28 Mar 16
20
(392,401)
 

19.  
De Marco, Stefano
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Hillairet, Caroline
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Jacquier, Antoine
Imperial College London
Posted:
04 Oct 13
Last Revised:
29 Aug 16
16
(392,401)
 

20.  
Jacquier, Antoine
Imperial College London
Shi, Fangwei
Imperial College London
Posted:
27 Aug 16
0
(397,322)
 

21.  
Badikov, Sergey
Imperial College London
Jacquier, Antoine
Imperial College London
Liu, Qing Daphne
Imperial College London-Department of Mathematics
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
28 Mar 16
0
(392,401)
 

22.  
Asymptotic Arbitrage in the Heston Model | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Forthcoming
Number of Pages in PDF File: 13
Jacquier, Antoine
Imperial College London
Haba, Fatma
University of Tunis El Manar, Tunisia
Posted:
18 Nov 15
0
(402,174)
 

23.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
04 Apr 12
 

24.  
Jacquier, Antoine
Imperial College London
Mijatovic, Aleksandar
Imperial College London
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Posted:
15 Jul 11
Last Revised:
19 Apr 13
 

25.  
Small-Time Asymptotics for Implied Volatility under the Heston Model | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 861-876, 2009
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
30 Nov 09
Last Revised:
23 Mar 12
 

26.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

27.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

28.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Mijatovic, Aleksandar
Imperial College London
Posted:
16 Nov 09
Last Revised:
23 Mar 12
 


Records 1 - 28 of 28 matches
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