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Jacquier, Antoine's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,033 |
Total
Citations
16 |
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1.
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Jacquier, Antoine
Imperial College London - Department of Mathematics SLAOUI, SAAD
affiliation not provided to SSRN
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08 Jul 07
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Last Revised:
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17 Feb 10
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2,554
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2
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Variance Swaps, Gamma Swaps, Correlation Swaps, dispersion trades
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2.
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Gatheral, Jim
Baruch College, CUNY Jacquier, Antoine
Imperial College London - Department of Mathematics
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03 Apr 12
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Last Revised:
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25 Mar 13
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863
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4
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implied volatility, volatility surface, arbitrage-free parameterization, SVI, calibration
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3.
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Gatheral, Jim
Baruch College, CUNY Jacquier, Antoine
Imperial College London - Department of Mathematics
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19 Feb 10
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Last Revised:
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31 Jul 11
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785
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7
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SVI, Heston, Implied Volatility, Asymptotics, Calibration
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4.
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Jacquier, Antoine
Imperial College London - Department of Mathematics
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331
(43,409)
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implied volatility, stochastic volatility, asymptotics, Heston
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5.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Martini, Claude
Zeliade Systems
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28 Feb 11
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Last Revised:
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07 Mar 11
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215
(70,259)
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Heston, stochastic volatility, calibration, pricing, implied volatility
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6.
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Jacquier, Antoine
Imperial College London - Department of Mathematics
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08 Oct 08
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Last Revised:
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02 Dec 09
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99
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Risk Measures, Distortion functions, Convolution Semigroups
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7.
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Guo, Gaoyue
Ecole Polytechnique, Paris Jacquier, Antoine
Imperial College London - Department of Mathematics Martini, Claude
Zeliade Systems Neufcourt, Leo
Ecole Polytechnique, Paris
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27 Oct 12
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Last Revised:
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26 Nov 12
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53
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1
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SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage
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8.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Roome, Patrick
Imperial College London - Department of Mathematics
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05 Dec 12
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Last Revised:
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18 Dec 12
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44
(213,892)
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forward smile, forward-start options, large deviations, diagonal small-maturity asymptotics, large-maturity asymptotics
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9.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Keller-Ressel, Martin
TU Berlin Mijatovic, Aleksandar
Imperial College London
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27
(254,349)
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large deviation principle, stochastic volatility with jumps, affine processes, implied volatility in the large maturity limit
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10.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Lorig, Matthew
ORFE Department, Pinceton University
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08 Jul 12
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Last Revised:
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19 Apr 13
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26
(257,495)
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CEV, Lévy, Local volatility, implied volatility, default
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11.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Roome, Patrick
Imperial College London - Department of Mathematics
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19 Mar 13
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Last Revised:
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16 Apr 13
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19
(281,444)
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forward smile, forward-start options, large deviations, small-maturity asymptotics, Heston model
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12.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Mijatovic, Aleksandar
Imperial College London
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17
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2
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Heston, large maturity, asymptotics, large deviations
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13.
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Forde, Martin
Dublin City University - Department of Mathematical Sciences Jacquier, Antoine
Imperial College London - Department of Mathematics
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volatility swaps, Heston model, Asian options, calibration
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14.
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Jacquier, Antoine
Imperial College London - Department of Mathematics Mijatovic, Aleksandar
Imperial College London Forde, Martin
Dublin City University - Department of Mathematical Sciences
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15 Jul 11
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Last Revised:
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19 Apr 13
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Essential smoothness, large deviation principle, Heston model
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15.
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Forde, Martin
Dublin City University - Department of Mathematical Sciences Jacquier, Antoine
Imperial College London - Department of Mathematics
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30 Nov 09
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Last Revised:
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23 Mar 12
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Implied volatility asymptotics, Heston, large deviation, small-time behavior
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16.
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Forde, Martin
Dublin City University - Department of Mathematical Sciences Jacquier, Antoine
Imperial College London - Department of Mathematics
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27 Nov 09
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Last Revised:
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04 Jun 12
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Heston model, asymptotics, smile, large deviations, calibration
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17.
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Forde, Martin
Dublin City University - Department of Mathematical Sciences Jacquier, Antoine
Imperial College London - Department of Mathematics
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| Posted: |
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27 Nov 09
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Last Revised:
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04 Jun 12
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local volatility, stochastic volatility, asymptotics, differential geometry, Freidlin-Wentzell theory
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18.
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Forde, Martin
Dublin City University - Department of Mathematical Sciences Jacquier, Antoine
Imperial College London - Department of Mathematics Mijatovic, Aleksandar
Imperial College London
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16 Nov 09
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Last Revised:
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23 Mar 12
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implied volatility, Heston model, closed-form formula, saddlepoint approximation, calibration
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