Patrick Roome

Imperial College London - Department of Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

423

CITATIONS

2

Scholarly Papers (7)

1.

Asymptotic Behaviour of the Fractional Heston Model

Number of pages: 15 Posted: 30 Nov 2014
Hamza Guennoun, Antoine Jacquier and Patrick Roome
Societe Generale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 91 (175,637)

Abstract:

Fractional Heston model, Asymptotics, Implied Volatility

2.

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 Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 67 (267,106)
Citation 2

Abstract:

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

3.

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 Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 52 (277,604)

Abstract:

volatility asymptotics, random environment, forward smile, large deviations

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 Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 31 (372,009)

Abstract:

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

5.

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
Stefano De Marco, Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Imperial College London and Imperial College London - Department of Mathematics
Downloads 24 (383,074)

Abstract:

Heston model, Sharp large deviations, Freidlin-Wentzell

6.

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 Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 20 (421,340)

Abstract:

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

7.

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 0 (383,074)

Abstract:

Optimal transport, forward smile, linear programme