Antoine (Jack) Jacquier

Imperial College London

Reader 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

96 Euston Road

London, NW12DB

United Kingdom

SCHOLARLY PAPERS

53

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19,217

SSRN CITATIONS
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Top 8,060

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142

CROSSREF CITATIONS

79

Scholarly Papers (53)

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 5,977 (2,580)
Citation 34

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 3,037 (8,055)
Citation 6

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 1,161 (35,492)
Citation 8

Abstract:

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SVI, Heston, Implied Volatility, Asymptotics, Calibration

4.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 23 Dec 2022
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Independent Researcher
Downloads 811 (58,660)
Citation 11

Abstract:

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

5.

Market regime classification with signatures

Number of pages: 14 Posted: 08 Jul 2021
Antoine (Jack) Jacquier, Paul Bilokon and Conor McIndoe
Imperial College London, Thalesians and affiliation not provided to SSRN
Downloads 743 (65,981)
Citation 1

Abstract:

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Signature, clustering

6.

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 638 (80,102)
Citation 1

Abstract:

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Heston, stochastic volatility, calibration, pricing, implied volatility

7.

Portfolio Optimisation With Options

Number of pages: 25 Posted: 01 Feb 2022
Jonathan Chan, Thomas Huckle, Antoine (Jack) Jacquier and Aitor Muguruza
Kaiju Capital Management, Kaiju Capital Management, Imperial College London and Imperial College London
Downloads 598 (86,909)

Abstract:

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Options portfolio, modern portfolio theory, copulas, tail dependence

8.

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 462 (119,348)
Citation 3

Abstract:

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implied volatility, stochastic volatility, asymptotics, Heston

9.

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 454 (121,871)
Citation 9

Abstract:

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

10.

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, Mathematical Institute, University of Oxford and Oxford Man Institute and Imperial College London
Downloads 403 (139,990)
Citation 6

Abstract:

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SABR model, asymptotic expansions, implied volatility

11.

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 357 (160,272)
Citation 9

Abstract:

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

12.

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 316 (182,506)
Citation 12

Abstract:

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rough volatility, Deep learning, Path-dependent PDEs

13.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
Blanka Horvath, Antoine (Jack) Jacquier and Peter Tankov
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and ENSAE, Institut Polytechnique de Paris
Downloads 307 (188,174)
Citation 6

Abstract:

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rough volatility, VIX smile, Monte Carlo, Volterra process

14.

Random Neural Networks for Rough Volatility

Number of pages: 33 Posted: 12 May 2023
Antoine (Jack) Jacquier and Zan Zuric
Imperial College London and Kaiju Capital Management
Downloads 275 (211,104)

Abstract:

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Rough Volatility, Deep Learning, Random Neural Network, Stochastic Partial Differential Equations

15.

A Quantum Algorithm for Linear PDEs Arising in Finance

Number of pages: 13 Posted: 26 Dec 2019 Last Revised: 05 Feb 2021
Filipe Fontanela, Antoine (Jack) Jacquier and Mugad Oumgari
Lloyds Banking Group, Imperial College London and Lloyds Banking Group
Downloads 233 (248,531)
Citation 3

Abstract:

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quantum algorithms, option pricing, PDE, Schrodinger equation

16.

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
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Imperial College London
Downloads 221 (261,458)
Citation 16

Abstract:

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

17.

The Log Moment formula for implied volatility

Number of pages: 12 Posted: 18 Feb 2021
Antoine (Jack) Jacquier and Vimal Raval
Imperial College London and affiliation not provided to SSRN
Downloads 216 (267,084)
Citation 3

Abstract:

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18.

Asymptotic Behaviour of the Fractional Heston Model

Number of pages: 15 Posted: 30 Nov 2014
Hamza Guennoun, Antoine (Jack) Jacquier and Patrick Roome
Société Générale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 212 (271,710)
Citation 21

Abstract:

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Fractional Heston model, Asymptotics, Implied Volatility

19.

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 208 (276,544)
Citation 4

Abstract:

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option pricing, machine learning, Monte Carlo, stochastic volatility

20.

Quantum Computing for Financial Mathematics

Number of pages: 5 Posted: 01 Dec 2023
Antoine (Jack) Jacquier, Oleksiy Kondratyev, Mugad Oumgari and Gordon Lee
Imperial College London, Imperial College London - Department of Mathematics, Lloyds Banking Group and no affiliation
Downloads 145 (378,585)

Abstract:

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quantum computing, quantitative finance, option pricing, machine learning, optimisation

21.

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 145 (378,585)
Citation 5

Abstract:

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volatility asymptotics, random environment, forward smile, large deviations

22.

Functional quantization of rough volatility and applications to volatility derivatives

Number of pages: 35 Posted: 09 Apr 2021
Ofelia Bonesini, Giorgia Callegaro, Giorgia Callegaro and Antoine (Jack) Jacquier
University of Padua, University of PaduaUniversity of Padua and Imperial College London
Downloads 140 (389,119)

Abstract:

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Riemann-Liouville process, Volterra process, functional quantization, series expansion, rough volatility, VIX options

23.

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 137 (395,687)
Citation 9

Abstract:

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

24.

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 136 (398,078)

Abstract:

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Risk Measures, Distortion functions, Convolution Semigroups

25.

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 131 (409,955)
Citation 1

Abstract:

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

26.

Propagation of a Carbon Price in Credit Portfolio Through Macroeconomic Factors

Number of pages: 62 Posted: 02 Aug 2023 Last Revised: 19 Apr 2024
Rimm Sustainability - Climate Risks Research Department, University of Paris - UFR de Mathématiques, Independent, Imperial College London and Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Université Paris Cité
Downloads 128 (417,201)

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Credit risk, Climate risk, Merton model, Macroeconomic modelling, Transition risk, Carbon tax,Firm valuation, Stochastic modeling

27.

A Quantum Generative Adversarial Network for distributions

Number of pages: 19 Posted: 05 Oct 2021
Amine Assouel, Antoine (Jack) Jacquier and Oleksiy Kondratyev
École normale supérieure Paris-Saclay, Imperial College London and Imperial College London - Department of Mathematics
Downloads 122 (432,696)
Citation 3

Abstract:

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Quantum Computing, GAN, Quantum Phase Estimation, SVI, volatility

28.

Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Number of pages: 14 Posted: 02 Oct 2019 Last Revised: 02 Feb 2021
Mehdi El Amrani, Antoine (Jack) Jacquier and Claude Martini
Bloomberg L.P., Imperial College London and affiliation not provided to SSRN
Downloads 119 (440,839)

Abstract:

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implied volatility, absence of arbitrage, SSVI, bubbles

29.

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 116 (449,315)
Citation 4

Abstract:

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Implied volatility, Exponential Lévy

30.

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 95 (517,254)

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

31.

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 93 (524,416)
Citation 1

Abstract:

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

32.

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 92 (528,008)
Citation 3

Abstract:

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

33.

Natural Language Processing for Financial Regulation

Number of pages: 20 Posted: 01 Dec 2023 Last Revised: 16 Feb 2024
Ixandra Achitouv, Dragos Gorduza and Antoine (Jack) Jacquier
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611, affiliation not provided to SSRN and Imperial College London
Downloads 91 (531,680)

Abstract:

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Language models, Financial Regulation, Natural Language Processing

34.

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

Number of pages: 33 Posted: 12 Aug 2019 Last Revised: 10 Apr 2020
Antoine (Jack) Jacquier and Lorenzo Torricelli
Imperial College London and University of Bologna Department of Statistics
Downloads 78 (583,658)

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

35.

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 77 (587,938)

Abstract:

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

36.

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 76 (592,243)
Citation 2

Abstract:

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Optimal transport, forward smile, linear programme

37.

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 74 (601,086)
Citation 1

Abstract:

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Heston, large maturity, asymptotics, large deviations

38.

A Theoretical Analysis of Guyon's Toy Volatility Model

Number of pages: 33 Posted: 08 Dec 2022
Ofelia Bonesini, Antoine (Jack) Jacquier and Chloe Lacombe
affiliation not provided to SSRN, Imperial College London and Imperial College London
Downloads 72 (610,341)

Abstract:

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Path-dependent volatility, large deviations, boundary classification, ergodicity, implied volatility

39.

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 71 (614,994)
Citation 4

Abstract:

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

40.

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
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Imperial College London
Downloads 70 (619,694)
Citation 8

Abstract:

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Rough volatility, large deviations, implied volatility asymptotics

41.

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 65 (644,170)

Abstract:

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CEV, Lévy, Local volatility, implied volatility, default

42.

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 64 (649,450)

Abstract:

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Heston model, Sharp large deviations, Freidlin-Wentzell

43.

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 63 (654,620)
Citation 7

Abstract:

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

44.

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 53 (710,180)

Abstract:

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Heston, asymptotic arbitrage, large deviations

45.

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 49 (735,177)
Citation 2

Abstract:

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

46.

Large and moderate deviations for importance sampling in the Heston model

Number of pages: 32 Posted: 02 Nov 2021
Zan Zuric, Antoine (Jack) Jacquier and Marc Geha
Kaiju Capital Management, Imperial College London and Princeton University - Bendheim Center for Finance
Downloads 48 (741,639)
Citation 1

Abstract:

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Heston, volatility, importance sampling, large deviations, moderate deviations

47.

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 38 (812,103)

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moderate deviations, weak convergence, multiscale diffusions, option pricing

48.

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

49.

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

50.

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

51.

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

Abstract:

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Heston model, asymptotics, smile, large deviations, calibration

52.

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

53.

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