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Jacquier, Antoine


 SSRN Author Rank: 3,968 by Downloads
 PhD student
 

Imperial College London - Department of Mathematics


 South Kensington Campus
 London SW7 2AZ, SW7 2AZ
 United Kingdom
 HOME PAGE: http://www.ma.ic.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
6,069
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 - Department of Mathematics
SLAOUI, SAAD
affiliation not provided to SSRN
Posted:
08 Jul 07
Last Revised:
17 Feb 10
2,648
(2,182)
2

2.  
Arbitrage-Free SVI Volatility Surfaces | Show Abstract | Download |
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
03 Apr 12
Last Revised:
15 Jan 14
1,509
(5,817)
7

3.  
Convergence of Heston to SVI | Show Abstract | Download |
Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
19 Feb 10
Last Revised:
31 Jul 11
870
(14,115)
9

4.  
Asymptotic Skew Under Stochastic Volatility | Show Abstract | Download |
Birkbeck Working Paper in Economics & Finance No. 0703
Working Paper Series
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
09 Jul 07
346
(48,968)
 

5.  
Heston 2010 | Show Abstract | Download |
Working Paper Series
Jacquier, Antoine
Imperial College London - Department of Mathematics
Martini, Claude
Zeliade Systems
Posted:
28 Feb 11
Last Revised:
07 Mar 11
248
(71,531)
 

6.  
Guo, Gaoyue
Ecole Polytechnique, Paris
Jacquier, Antoine
Imperial College London - Department of Mathematics
Martini, Claude
Zeliade Systems
Neufcourt, Leo
Ecole Polytechnique, Paris
Posted:
27 Oct 12
Last Revised:
04 Oct 13
119
(140,645)
2

7.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
08 Oct 08
Last Revised:
02 Dec 09
102
(157,412)
 

8.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
05 Dec 12
Last Revised:
03 Oct 13
56
(223,918)
2

9.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Lorig, Matthew
Applied Mathematics, University of Washington
Posted:
01 Jul 12
Last Revised:
09 Jul 13
41
(256,138)
 

10.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Keller-Ressel, Martin
TU Berlin
Mijatovic, Aleksandar
Imperial College London
Posted:
30 Aug 11
33
(277,080)
1

11.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Lorig, Matthew
Applied Mathematics, University of Washington
Posted:
08 Jul 12
Last Revised:
19 Apr 13
32
(280,006)
2

12.  
The Small-Maturity Heston Forward Smile | Show Abstract | Download |
SIAM Journal on Financial Mathematics, Forthcoming
Accepted Paper Series
Jacquier, Antoine
Imperial College London - Department of Mathematics
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
19 Mar 13
Last Revised:
27 Aug 13
29
(289,412)
 

13.  
Jacquier, Antoine
Imperial College London - Department of Mathematics
Mijatovic, Aleksandar
Imperial College London
Posted:
24 Mar 12
25
(303,618)
2

14.  
De Marco, Stefano
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Hillairet, Caroline
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
04 Oct 13
11
(362,250)
 

15.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
04 Apr 12
 

16.  
A Note on Essential Smoothness in the Heston Model | Show Abstract |
Finance Stochastics, Forthcoming
Accepted Paper Series
Jacquier, Antoine
Imperial College London - Department of Mathematics
Mijatovic, Aleksandar
Imperial College London
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Posted:
15 Jul 11
Last Revised:
19 Apr 13
 

17.  
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
Accepted Paper Series
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
30 Nov 09
Last Revised:
23 Mar 12
 

18.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

19.  
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London - Department of Mathematics
Posted:
27 Nov 09
Last Revised:
04 Jun 12
 

20.  
Asymptotic Formulae for Implied Volatility in the Heston Model | Show Abstract |
Proceedings of the Royal Society A
Accepted Paper Series
Forde, Martin
Dublin City University - Department of Mathematical Sciences
Jacquier, Antoine
Imperial College London - Department of Mathematics
Mijatovic, Aleksandar
Imperial College London
Posted:
16 Nov 09
Last Revised:
23 Mar 12
 


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