Antoine Jacquier

Imperial College London

Senior Lecturer in Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

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

  • Imperial College London

SCHOLARLY PAPERS

38

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10,179

CITATIONS
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24

Scholarly Papers (38)

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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 Jacquier
CUNY Baruch College and Imperial College London
Downloads 3,485 (2,706)
Citation 7

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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 Jacquier and SAAD SLAOUI
Imperial College London and affiliation not provided to SSRN
Downloads 2,852 (3,832)
Citation 2

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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 Jacquier
CUNY Baruch College and Imperial College London
Downloads 1,013 (20,624)
Citation 9

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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 Jacquier and Claude Martini
Imperial College London and Zeliade Systems
Downloads 409 (69,109)

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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 Jacquier
Imperial College London
Downloads 394 (72,256)

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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 Jacquier
Ohio University, ETH Zurich - Department of Mathematics and Imperial College London
Downloads 292 (101,341)

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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 Jacquier, Claude Martini and Leo Neufcourt
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 251 (118,912)
Citation 2

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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 Jacquier and Peter Tankov
ETH Zurich - Department of Mathematics, Imperial College London and Ecole Polytechnique, Paris
Downloads 155 (185,868)

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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 Jacquier and Patrick Roome
Societe Generale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 152 (189,004)

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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 Jacquier, Claude Martini and Aitor Muguruza
Imperial College London, Zeliade Systems and Imperial College London
Downloads 124 (222,317)

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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 Jacquier
Imperial College London
Downloads 111 (241,111)

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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 Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Downloads 84 (289,766)
Citation 2

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

13.

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 82 (293,974)

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volatility asymptotics, random environment, forward smile, large deviations

14.

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 Jacquier and Hao Liu
Imperial College London and Imperial College London
Downloads 80 (298,295)

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

15.

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 70 (322,020)

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Implied volatility, Exponential Lévy

16.

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 56 (360,624)
Citation 1

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

17.

The Randomised Heston Model

Number of pages: 35 Posted: 27 Aug 2016 Last Revised: 06 Dec 2018
Antoine Jacquier and Fangwei Shi
Imperial College London and Imperial College London
Downloads 49 (382,769)

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

18.

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 45 (396,510)
Citation 1

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CEV, Lévy, Local volatility, implied volatility, default

19.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
Blanka Horvath, Antoine Jacquier and Aitor Muguruza
ETH Zurich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 43 (403,685)

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

20.

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 43 (403,685)

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

21.

Stacked Monte Carlo for Option Pricing

Number of pages: 12 Posted: 23 Apr 2019
Antoine Jacquier, Emma Malone and Mugad Oumgari
Imperial College London, Lloyds Banking Group and Lloyds Banking Group
Downloads 42 (411,027)

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option pricing, machine learning, Monte Carlo, stochastic volatility

22.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018
Blanka Horvath, Antoine Jacquier and Colin Turfus
Imperial College London - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 41 (411,027)

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

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 Liu and Patrick Roome
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 41 (411,027)

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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 Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Imperial College London and Imperial College London - Department of Mathematics
Downloads 38 (422,659)

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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 Jacquier
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 37 (426,681)

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

26.

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 37 (426,681)

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Heston, large maturity, asymptotics, large deviations

27.

Perturbation Analysis of Sub/Super Hedging Problems

Number of pages: 29 Posted: 28 Jun 2018
Sergey Badikov, Mark Davis and Antoine Jacquier
Imperial College London, Imperial College London and Imperial College London
Downloads 35 (434,781)

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

28.

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 30 (456,555)

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

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 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 27 (471,261)

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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 Jacquier and Chloe Lacombe
ETH Zurich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 27 (471,261)

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Rough volatility, large deviations, implied volatility asymptotics

31.

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 26 (476,449)

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Heston, asymptotic arbitrage, large deviations

32.

Pathwise Moderate Deviations for Option Pricing

Number of pages: 25 Posted: 21 Jun 2018
Antoine Jacquier and Konstantinos Spiliopoulos
Imperial College London and Boston University
Downloads 8 (579,390)

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moderate deviations, weak convergence, multiscale diffusions, option pricing

33.

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

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volatility swaps, Heston model, Asian options, calibration

34.

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

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Essential smoothness, large deviation principle, Heston model

35.

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:

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

36.

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

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Heston model, asymptotics, smile, large deviations, calibration

37.

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

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

38.

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

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