Antoine (Jack) Jacquier

Imperial College London

Senior Lecturer in Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

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

The Alan Turing Institute

British Library, 96 Euston Road

London, NW12DB

United Kingdom

SCHOLARLY PAPERS

42

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SSRN CITATIONS
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Top 9,228

in Total Papers Citations

41

CROSSREF CITATIONS

69

Scholarly Papers (42)

1.

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 (Jack) Jacquier
CUNY Baruch College and Imperial College London
Downloads 3,601 (2,783)
Citation 22

Abstract:

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

2.

Variance Dispersion and Correlation Swaps

Number of pages: 14 Posted: 08 Jul 2007 Last Revised: 17 Feb 2010
Antoine (Jack) Jacquier and SAAD SLAOUI
Imperial College London and affiliation not provided to SSRN
Downloads 2,862 (4,139)
Citation 5

Abstract:

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Variance Swaps, Gamma Swaps, Correlation Swaps, dispersion trades

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 (Jack) Jacquier
CUNY Baruch College and Imperial College London
Downloads 1,027 (21,514)
Citation 1

Abstract:

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SVI, Heston, Implied Volatility, Asymptotics, Calibration

4.

Heston 2010

Number of pages: 31 Posted: 28 Feb 2011 Last Revised: 07 Mar 2011
Antoine (Jack) Jacquier and Claude Martini
Imperial College London and Zeliade Systems
Downloads 423 (70,459)
Citation 1

Abstract:

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Heston, stochastic volatility, calibration, pricing, implied volatility

5.

Asymptotic Skew Under Stochastic Volatility

Birkbeck Working Paper in Economics & Finance No. 0703
Number of pages: 9 Posted: 09 Jul 2007
Antoine (Jack) Jacquier
Imperial College London
Downloads 396 (76,204)
Citation 3

Abstract:

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implied volatility, stochastic volatility, asymptotics, Heston

6.

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 (Jack) Jacquier
Ohio University, ETH Zürich - Department of Mathematics and Imperial College London
Downloads 303 (103,058)
Citation 3

Abstract:

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SABR model, asymptotic expansions, implied volatility

7.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Gaoyue Guo, Antoine (Jack) Jacquier, Claude Martini and Leo Neufcourt
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 264 (119,383)
Citation 6

Abstract:

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

8.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
Blanka Horvath, Antoine (Jack) Jacquier and Peter Tankov
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE Paris
Downloads 174 (177,891)
Citation 2

Abstract:

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rough volatility, VIX smile, Monte Carlo, Volterra process

9.

Asymptotic Behaviour of the Fractional Heston Model

Number of pages: 15 Posted: 30 Nov 2014
Hamza Guennoun, Antoine (Jack) Jacquier and Patrick Roome
Societe Generale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 155 (196,415)
Citation 10

Abstract:

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Fractional Heston model, Asymptotics, Implied Volatility

10.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Antoine (Jack) Jacquier, Claude Martini and Aitor Muguruza
Imperial College London, Zeliade Systems and Imperial College London
Downloads 133 (222,542)
Citation 7

Abstract:

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

11.

A Numerical Approach to Spectral Risk Measures

Number of pages: 16 Posted: 08 Oct 2008 Last Revised: 02 Dec 2009
Antoine (Jack) Jacquier
Imperial College London
Downloads 112 (252,913)

Abstract:

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Risk Measures, Distortion functions, Convolution Semigroups

12.

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 90 (292,826)
Citation 9

Abstract:

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

13.

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

Number of pages: 27 Posted: 08 Jan 2017 Last Revised: 15 Nov 2017
Antoine (Jack) Jacquier and Hao Liu
Imperial College London and Imperial College London
Downloads 84 (305,708)
Citation 1

Abstract:

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

14.

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 83 (308,030)
Citation 3

Abstract:

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volatility asymptotics, random environment, forward smile, large deviations

15.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 16 Aug 2019
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
Imperial College London - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 81 (312,531)
Citation 7

Abstract:

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Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Caplet Pricing, Green’s Function

16.

Stacked Monte Carlo for Option Pricing

Number of pages: 12 Posted: 23 Apr 2019
Antoine (Jack) Jacquier, Emma Malone and Mugad Oumgari
Imperial College London, Lloyds Banking Group and Lloyds Banking Group
Downloads 79 (317,188)
Citation 1

Abstract:

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option pricing, machine learning, Monte Carlo, stochastic volatility

17.

From Characteristic Functions to Implied Volatility Expansions

Number of pages: 25 Posted: 01 Jul 2012 Last Revised: 09 Jul 2013
Antoine (Jack) Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 74 (329,420)
Citation 3

Abstract:

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Implied volatility, Exponential Lévy

18.

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

Number of pages: 30 Posted: 30 Aug 2011
Antoine (Jack) Jacquier, Martin Keller-Ressel and Aleksandar Mijatovic
Imperial College London, Dresden University of Technology - Department of Mathematics and Imperial College London
Downloads 60 (368,051)
Citation 3

Abstract:

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

19.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
Blanka Horvath, Antoine (Jack) Jacquier and Aitor Muguruza
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 59 (371,092)
Citation 5

Abstract:

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functional limit theorems, Gaussian processes, invariance principles, fractional Brownian motion, rough volatility, binomial trees

20.

The Randomised Heston Model

Number of pages: 35 Posted: 27 Aug 2016 Last Revised: 06 Dec 2018
Antoine (Jack) Jacquier and Fangwei Shi
Imperial College London and Imperial College London
Downloads 52 (393,658)
Citation 3

Abstract:

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

21.

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 46 (414,693)
Citation 1

Abstract:

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

22.

The Smile of Certain Lévy-Type Models

Number of pages: 31 Posted: 08 Jul 2012 Last Revised: 19 Apr 2013
Antoine (Jack) Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 45 (418,415)

Abstract:

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CEV, Lévy, Local volatility, implied volatility, default

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 (Jack) Jacquier, Qing Liu and Patrick Roome
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 42 (429,838)
Citation 2

Abstract:

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Optimal transport, forward smile, linear programme

24.

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 (Jack) Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Imperial College London and Imperial College London - Department of Mathematics
Downloads 39 (442,080)

Abstract:

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Heston model, Sharp large deviations, Freidlin-Wentzell

25.

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 (Jack) Jacquier
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 39 (442,080)
Citation 2

Abstract:

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

26.

Deep PPDEs for Rough Local Stochastic Volatility

Number of pages: 21 Posted: 17 Jun 2019
Antoine (Jack) Jacquier and Mugad Oumgari
Imperial College London and Lloyds Banking Group
Downloads 38 (446,262)
Citation 1

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rough volatility, Deep learning, Path-dependent PDEs

27.

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

Number of pages: 21 Posted: 24 Mar 2012
Antoine (Jack) Jacquier and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 38 (446,262)
Citation 1

Abstract:

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Heston, large maturity, asymptotics, large deviations

28.

Perturbation Analysis of Sub/Super Hedging Problems

Number of pages: 29 Posted: 28 Jun 2018
Sergey Badikov, Mark Davis and Antoine (Jack) Jacquier
Imperial College London, Imperial College London and Imperial College London
Downloads 36 (454,706)

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duality, infinity-dimensional linear programming, super-hedging, perturbation methods

29.

The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature

Number of pages: 18 Posted: 03 Nov 2017
Elisa Alos, Antoine (Jack) Jacquier and Jorge A. Leon
University of Pompeu Fabra - Department of Economics, Imperial College London and Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)
Downloads 35 (459,032)

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Forward-Start Options, Implied Volatility, Malliavin Calculus, Stochastic Volatility Models

30.

Asymptotic Behaviour of Randomised Fractional Volatility Models

Number of pages: 23 Posted: 07 Aug 2017 Last Revised: 15 Jun 2018
Blanka Horvath, Antoine (Jack) Jacquier and Chloe Lacombe
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 33 (467,896)
Citation 6

Abstract:

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Rough volatility, large deviations, implied volatility asymptotics

31.

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 32 (472,564)
Citation 2

Abstract:

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

32.

Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure

Number of pages: 32 Posted: 12 Aug 2019 Last Revised: 02 Oct 2019
Antoine (Jack) Jacquier and Lorenzo Torricelli
Imperial College London and University of Parma, Department of Economics and Management
Downloads 26 (503,390)

Abstract:

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anomalous diffusions, volatility skew term structure, derivative pricing, CTRWs, inverse L\'evy subordinators, time changes, L\'evy processes, subdiffusions, Beta distribution, triangular arrays

33.

Asymptotic Arbitrage in the Heston Model

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 13 Posted: 18 Nov 2015
Antoine (Jack) Jacquier and Fatma Haba
Imperial College London and University of Tunis El Manar, Tunisia
Downloads 26 (503,390)

Abstract:

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Heston, asymptotic arbitrage, large deviations

34.

A Quantum Algorithm for Linear PDEs Arising in Finance

Number of pages: 15 Posted: 26 Dec 2019
Filipe Fontanela, Antoine (Jack) Jacquier and Mugad Oumgari
Lloyds Banking Group, Imperial College London and Lloyds Banking Group
Downloads 17 (556,694)

Abstract:

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quantum algorithms, option pricing, PDE, Schrodinger equation

35.

Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Number of pages: 13 Posted: 02 Oct 2019
Mehdi El Amrani, Antoine (Jack) Jacquier and Claude Martini
affiliation not provided to SSRN, Imperial College London and affiliation not provided to SSRN
Downloads 9 (607,851)

Abstract:

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implied volatility, absence of arbitrage, SSVI, bubbles

36.

Pathwise Moderate Deviations for Option Pricing

Number of pages: 25 Posted: 21 Jun 2018
Antoine (Jack) Jacquier and Konstantinos Spiliopoulos
Imperial College London and Boston University
Downloads 9 (607,851)

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moderate deviations, weak convergence, multiscale diffusions, option pricing

37.

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 (Jack) Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

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volatility swaps, Heston model, Asian options, calibration

38.

A Note on Essential Smoothness in the Heston Model

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

Abstract:

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Essential smoothness, large deviation principle, Heston model

39.

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 (Jack) Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

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

40.

The Large Maturity Smile for the Heston Model

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

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Heston model, asymptotics, smile, large deviations, calibration

41.

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 (Jack) Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

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

42.

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 (Jack) Jacquier and Aleksandar Mijatovic
Dublin City University - Department of Mathematical Sciences, Imperial College London and Imperial College London

Abstract:

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