Patrick Roome

Imperial College London - Department of Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

540

SSRN CITATIONS
Rank 32,348

SSRN RANKINGS

Top 32,348

in Total Papers Citations

13

CROSSREF CITATIONS

13

Scholarly Papers (7)

1.

Asymptotic Behaviour of the Fractional Heston Model

Number of pages: 15 Posted: 30 Nov 2014
Societe Generale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 166 (228,234)
Citation 16

Abstract:

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Fractional Heston model, Asymptotics, Implied Volatility

2.

Black-Scholes in a CEV Random Environment: A New Approach to Smile Modelling

Number of pages: 24 Posted: 29 Mar 2015 Last Revised: 07 Jul 2015
Antoine (Jack) Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 99 (336,386)
Citation 3

Abstract:

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volatility asymptotics, random environment, forward smile, large deviations

3.

Asymptotics of Forward Implied Volatility

SIAM Journal on Financial Mathematics, 6(1): 307-351, 2015.
Number of pages: 37 Posted: 05 Dec 2012 Last Revised: 04 Jun 2015
Antoine (Jack) Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 99 (336,386)
Citation 9

Abstract:

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forward smile, forward-start options, large deviations, diagonal small-maturity asymptotics, large-maturity asymptotics

4.

The Small-Maturity Heston Forward Smile

SIAM Journal on Financial Mathematics, 4(1): 831-856, 2013.
Number of pages: 23 Posted: 19 Mar 2013 Last Revised: 21 Feb 2015
Antoine (Jack) Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 56 (462,339)
Citation 1

Abstract:

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forward smile, forward-start options, large deviations, small-maturity asymptotics, Heston model

5.

No-Arbitrage Bounds for the Forward Smile Given Marginals

Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 07 Oct 2016
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 48 (494,513)
Citation 2

Abstract:

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Optimal transport, forward smile, linear programme

6.

Two Examples of Non Strictly Convex Large Deviations

Forthcoming in Electronic Communications in Probability
Number of pages: 11 Posted: 28 Nov 2014 Last Revised: 01 May 2016
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Imperial College London and Imperial College London - Department of Mathematics
Downloads 39 (535,884)

Abstract:

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Heston model, Sharp large deviations, Freidlin-Wentzell

7.

Large-Maturity Regimes of the Heston Forward Smile

Stochastic Processes and Their Applications, 126: 1087-1123, 2016
Number of pages: 30 Posted: 29 Oct 2014 Last Revised: 28 Mar 2016
Antoine (Jack) Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 33 (567,236)
Citation 2

Abstract:

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Stochastic volatility, Heston, forward implied volatility, asymptotic expansion, sharp large deviations.