Antoine Jacquier

Imperial College London

Lecturer in Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

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

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 3,537

in Total Papers Downloads

8,845

CITATIONS
Rank 15,389

SSRN RANKINGS

Top 15,389

in Total Papers Citations

23

Scholarly Papers (30)

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
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
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