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Antoine Jacquier

Imperial College London

Lecturer in Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

http://wwwf.imperial.ac.uk/~ajacquie/

  • Imperial College London

SCHOLARLY PAPERS

30

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CITATIONS
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23

Scholarly Papers (30)

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1.

Variance Dispersion and Correlation Swaps

Number of pages: 14 Posted: 08 Jul 2007 Last Revised: 17 Feb 2010
Antoine Jacquier and SAAD SLAOUI
Imperial College London and affiliation not provided to SSRN
Downloads 2,686 (3,164)
Citation 2

Abstract:

Variance Swaps, Gamma Swaps, Correlation Swaps, dispersion trades

2.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Downloads 2,313 (2,612)
Citation 7

Abstract:

implied volatility, volatility surface, arbitrage-free parameterization, SVI, calibration

3.

Convergence of Heston to SVI

Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011
Number of pages: 5 Posted: 19 Feb 2010 Last Revised: 31 Jul 2011
Jim Gatheral and Antoine Jacquier
CUNY Baruch College and Imperial College London
Downloads 913 (17,755)
Citation 8

Abstract:

SVI, Heston, Implied Volatility, Asymptotics, Calibration

4.

Asymptotic Skew Under Stochastic Volatility

Birkbeck Working Paper in Economics & Finance No. 0703
Number of pages: 9 Posted: 09 Jul 2007
Antoine Jacquier
Imperial College London
Downloads 363 (62,446)

Abstract:

implied volatility, stochastic volatility, asymptotics, Heston

5.

Heston 2010

Number of pages: 31 Posted: 28 Feb 2011 Last Revised: 07 Mar 2011
Antoine Jacquier and Claude Martini
Imperial College London and Zeliade Systems
Downloads 296 (69,661)

Abstract:

Heston, stochastic volatility, calibration, pricing, implied volatility

6.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Gaoyue Guo, Antoine Jacquier, Claude Martini and Leo Neufcourt
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 168 (110,735)
Citation 2

Abstract:

SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage

7.

A Numerical Approach to Spectral Risk Measures

Number of pages: 16 Posted: 08 Oct 2008 Last Revised: 02 Dec 2009
Antoine Jacquier
Imperial College London
Downloads 104 (212,711)

Abstract:

Risk Measures, Distortion functions, Convolution Semigroups

8.

Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics

Number of pages: 15 Posted: 13 Feb 2015 Last Revised: 29 Nov 2016
Archil Gulisashvili, Blanka Horvath and Antoine Jacquier
Ohio University, ETH Zurich - Department of Mathematics and Imperial College London
Downloads 103 (105,100)

Abstract:

SABR model, asymptotic expansions, implied volatility

9.

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 (182,408)

Abstract:

Fractional Heston model, Asymptotics, Implied Volatility

10.

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 (261,866)
Citation 2

Abstract:

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

11.

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 (272,316)

Abstract:

volatility asymptotics, random environment, forward smile, large deviations

12.

From Characteristic Functions to Implied Volatility Expansions

Number of pages: 25 Posted: 01 Jul 2012 Last Revised: 09 Jul 2013
Antoine Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 48 (300,078)

Abstract:

Implied volatility, Exponential Lévy

13.

Large Deviations and Stochastic Volatility with Jumps: Asymptotic Implied Volatility for Affine Models

Number of pages: 30 Posted: 30 Aug 2011
Antoine Jacquier, Martin Keller-Ressel and Aleksandar Mijatovic
Imperial College London, Dresden University of Technology - Department of Mathematics and Imperial College London
Downloads 36 (355,687)
Citation 1

Abstract:

large deviation principle, stochastic volatility with jumps, affine processes, implied volatility in the large maturity limit

14.

The Smile of Certain Lévy-Type Models

Number of pages: 31 Posted: 08 Jul 2012 Last Revised: 19 Apr 2013
Antoine Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 33 (359,065)
Citation 1

Abstract:

CEV, Lévy, Local volatility, implied volatility, default

15.

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 (366,070)

Abstract:

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

16.

Large Deviations for the Extended Heston Model: The Large-Time Case

Number of pages: 21 Posted: 24 Mar 2012
Antoine Jacquier and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 26 (397,217)

Abstract:

Heston, large maturity, asymptotics, large deviations

17.

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 (380,781)

Abstract:

Heston model, Sharp large deviations, Freidlin-Wentzell

18.

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 (420,552)

Abstract:

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

19.

Shapes of Implied Volatility with Positive Mass at Zero

Number of pages: 23 Posted: 04 Oct 2013 Last Revised: 29 Aug 2016
Stefano De Marco, Caroline Hillairet and Antoine Jacquier
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 16 (392,902)

Abstract:

Atomic distribution, heavy-tailed distribution, Implied Volatility, smile asymptotics, absorption at zero, CEV model

20.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Antoine Jacquier, Claude Martini and Aitor Muguruza
Imperial College London, Zeliade Systems and Imperial College London
Downloads 0 (307,833)

Abstract:

Implied volatility, fractional Brownian motion, rough Bergomi, VIX Futures, VIX smile

21.

Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks

Number of pages: 25 Posted: 08 Jan 2017 Last Revised: 22 Feb 2017
Antoine Jacquier and Hao Liu
Imperial College London and Imperial College London
Downloads 0 (324,662)

Abstract:

limit order book, optimal liquidation, semi-Markov decision process, queueing theory

22.

The Randomised Heston Model

Number of pages: 37 Posted: 27 Aug 2016 Last Revised: 12 Apr 2017
Antoine Jacquier and Fangwei Shi
Imperial College London and Imperial College London
Downloads 0 (369,543)

Abstract:

Stochastic volatility, large deviations, Heston, implied volatility, asymptotic expansion

23.

No-Arbitrage Bounds for the Forward Smile Given Marginals

Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 07 Oct 2016
Sergey Badikov, Antoine Jacquier, Qing Daphne Liu and Patrick Roome
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 0 (397,217)

Abstract:

Optimal transport, forward smile, linear programme

24.

Asymptotic Arbitrage in the Heston Model

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 13 Posted: 18 Nov 2015
Antoine Jacquier and Fatma Haba
Imperial College London and University of Tunis El Manar, Tunisia
Downloads 0 (425,641)

Abstract:

Heston, asymptotic arbitrage, large deviations

25.

Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility

Applied Mathematical Finance 17 (3): 241-259
Posted: 04 Apr 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

volatility swaps, Heston model, Asian options, calibration

26.

A Note on Essential Smoothness in the Heston Model

Finance Stochastics, Forthcoming
Posted: 15 Jul 2011 Last Revised: 19 Apr 2013
Antoine Jacquier, Aleksandar Mijatovic and Martin Forde
Imperial College London, Imperial College London and Dublin City University - Department of Mathematical Sciences

Abstract:

Essential smoothness, large deviation principle, Heston model

27.

Small-Time Asymptotics for Implied Volatility under the Heston Model

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 861-876, 2009
Posted: 30 Nov 2009 Last Revised: 23 Mar 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

Implied volatility asymptotics, Heston, large deviation, small-time behavior

28.

Small-Time Asymptotics for Implied Volatility Under a General Local-Stochastic Volatility Model

Applied Mathematical Finance, Vol. 18, No. 6, 2011
Posted: 27 Nov 2009 Last Revised: 04 Jun 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

local volatility, stochastic volatility, asymptotics, differential geometry, Freidlin-Wentzell theory

29.

The Large Maturity Smile for the Heston Model

Posted: 27 Nov 2009 Last Revised: 04 Jun 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

Heston model, asymptotics, smile, large deviations, calibration

30.

Asymptotic Formulae for Implied Volatility in the Heston Model

Proceedings of the Royal Society A
Posted: 16 Nov 2009 Last Revised: 23 Mar 2012
Martin Forde, Antoine Jacquier and Aleksandar Mijatovic
Dublin City University - Department of Mathematical Sciences, Imperial College London and Imperial College London

Abstract:

implied volatility, Heston model, closed-form formula, saddlepoint approximation, calibration

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