Access Statistics for Antoine Jacquier

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on essential smoothness in the Heston model 0 0 0 2 1 1 3 22
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 2 1 1 5 25
Arbitrage-free SVI volatility surfaces 0 0 1 28 3 7 23 176
Asymptotic arbitrage in the Heston model 0 0 0 6 0 0 2 22
Asymptotic behaviour of the fractional Heston model 0 0 2 14 2 2 13 56
Asymptotic formulae for implied volatility in the Heston model 0 0 0 71 2 2 5 165
Asymptotic skew under stochastic volatility 0 0 2 162 1 1 9 351
Asymptotics of forward implied volatility 0 0 0 20 1 3 6 21
Black-Scholes in a CEV random environment 0 0 0 1 2 2 6 21
Convergence of Heston to SVI 0 0 1 30 0 1 4 107
From characteristic functions to implied volatility expansions 0 0 0 6 0 0 1 25
Functional central limit theorems for rough volatility 0 0 1 26 1 3 16 27
Generalised arbitrage-free SVI volatility surfaces 0 0 2 38 1 1 5 182
How many paths to simulate correlated Brownian motions? 0 0 0 9 0 0 1 10
Implied volatility in strict local martingale models 0 0 1 6 0 0 3 14
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 1 19 0 0 2 31
Large deviations for the extended Heston model: the large-time case 0 0 0 4 0 0 2 37
Large-Maturity Regimes of the Heston Forward Smile 0 0 0 2 0 0 0 12
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 1 20 1 1 3 27
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 11 1 1 1 20
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 4 1 1 6 21
No-arbitrage bounds for the forward smile given marginals 0 0 0 0 1 1 2 9
On VIX Futures in the rough Bergomi model 0 1 5 30 1 7 18 66
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 27 2 2 3 29
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 1 1 6 12
Shapes of implied volatility with positive mass at zero 0 0 0 12 1 1 2 19
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 1 1 1 35 1 1 8 26
The Small-Maturity Heston Forward Smile 0 0 0 1 1 1 2 22
The Smile of certain L\'evy-type Models 0 0 0 1 1 1 2 20
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 11 0 0 5 15
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 10 2 3 8 31
The randomised Heston model 0 0 0 13 0 1 9 23
Variance Dispersion and Correlation Swaps 2 5 40 1,925 20 66 346 6,595
Variance dispersion and correlation swaps 0 0 3 42 2 2 15 127
Total Working Papers 3 7 61 2,592 51 114 542 8,366


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on essential smoothness in the Heston model 0 0 0 4 0 1 1 18
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 1 1 5 20
Arbitrage-free SVI volatility surfaces 0 2 3 9 2 7 20 45
Convergence of Heston to SVI 0 0 0 11 0 0 2 51
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 8 1 1 3 36
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 1 4 31
Large-maturity regimes of the Heston forward smile 0 0 0 0 0 0 0 10
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 18 0 0 4 95
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 1 4 1 1 9 20
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 18 0 1 5 95
The large-maturity smile for the Heston model 0 0 1 12 0 0 2 52
Total Journal Articles 0 2 6 87 5 13 55 473


Statistics updated 2020-09-04