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Jacquier, Antoine


 SSRN Author Rank: 3,572 by Downloads
 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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. Jacquier, Antoine's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
7,115
Total
Citations
27
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
2,680
(2,402)
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
2,124
(3,571)
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
909
(14,668)
9

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
358
(52,264)
 

5.  
Jacquier, Antoine
Imperial College London
Martini, Claude
Zeliade Systems
Posted:
28 Feb 11
Last Revised:
07 Mar 11
287
(67,060)
 

6.  
Guo, Gaoyue
Ecole Polytechnique, Paris
Jacquier, Antoine
Imperial College London
Martini, Claude
Zeliade Systems
Neufcourt, Leo
Ecole Polytechnique, Paris
Posted:
27 Oct 12
Last Revised:
04 Oct 13
158
(121,596)
2

7.  
Jacquier, Antoine
Imperial College London
Posted:
08 Oct 08
Last Revised:
02 Dec 09
103
(170,407)
 

8.  
Gulisashvili, Archil
Ohio University
Horvath, Blanka
ETH Zurich - Department of Mathematics
Jacquier, Antoine
Imperial College London
Posted:
13 Feb 15
85
(193,433)
 

9.  
Guennoun, Hamza
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
30 Nov 14
76
(207,077)
 

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
66
(224,123)
2

11.  
Jacquier, Antoine
Imperial College London
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
01 Jul 12
Last Revised:
09 Jul 13
46
(266,206)
 

12.  
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Mar 15
43
(273,699)
 

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
(292,779)
1

14.  
Jacquier, Antoine
Imperial College London
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
08 Jul 12
Last Revised:
19 Apr 13
33
(301,618)
2

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
(307,989)
 

16.  
Jacquier, Antoine
Imperial College London
Mijatovic, Aleksandar
Imperial College London
Posted:
24 Mar 12
25
(330,140)
2

17.  
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:
02 Feb 15
23
(338,584)
 

18.  
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Oct 14
19
(356,177)
 

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
13
(383,212)
 

20.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
04 Apr 12
 

21.  
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
 

22.  
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
 

23.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

24.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

25.  
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
 


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