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 0 0 1 25
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 0 1 4 42
Arbitrage-free SVI volatility surfaces 1 2 2 39 2 4 11 252
Asymptotic arbitrage in the Heston model 0 0 0 6 1 1 1 26
Asymptotic behaviour of the fractional Heston model 0 1 1 15 0 1 1 70
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 0 0 0 170
Asymptotic skew under stochastic volatility 0 0 0 163 0 0 0 360
Asymptotics of forward implied volatility 0 0 0 22 0 0 2 30
Black-Scholes in a CEV random environment 0 0 0 3 1 1 3 30
Convergence of Heston to SVI 0 0 0 35 0 0 4 132
From characteristic functions to implied volatility expansions 0 0 0 7 0 0 0 27
Functional central limit theorems for rough volatility 0 0 0 30 1 1 2 67
Generalised arbitrage-free SVI volatility surfaces 0 1 2 43 0 4 7 204
How many paths to simulate correlated Brownian motions? 0 0 0 9 1 1 5 16
Implied volatility in strict local martingale models 0 0 0 7 0 1 5 20
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 0 1 37
Large deviations for the extended Heston model: the large-time case 0 0 0 5 0 0 1 43
Large-Maturity Regimes of the Heston Forward Smile 0 0 0 2 0 0 4 20
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 0 20 0 1 2 35
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 0 0 2 24
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 1 1 27
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 0 0 1 17
On VIX Futures in the rough Bergomi model 0 0 1 42 0 0 3 108
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 0 2 37
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 0 0 3 19
Shapes of implied volatility with positive mass at zero 0 0 0 12 0 0 1 21
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 1 36 0 1 3 37
The Small-Maturity Heston Forward Smile 0 0 0 1 0 0 3 29
The Smile of certain L\'evy-type Models 0 0 0 2 0 3 4 26
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 0 0 1 19
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 0 2 4 50
The randomised Heston model 0 0 0 14 1 1 4 39
Variance Dispersion and Correlation Swaps 0 1 1 1,969 0 2 8 7,246
Variance dispersion and correlation swaps 0 0 0 46 1 1 3 142
Total Working Papers 1 5 8 2,704 8 27 97 9,447

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 1 1 5 0 1 1 20
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 0 0 0 28
Arbitrage-free SVI volatility surfaces 0 0 1 34 0 2 9 128
Convergence of Heston to SVI 0 0 0 12 0 0 0 56
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 0 0 2 42
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 0 1 38
Large-maturity regimes of the Heston forward smile 0 0 0 2 0 0 3 20
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 1 2 3 103
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 0 5 0 0 3 32
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 0 20 0 0 0 104
The large-maturity smile for the Heston model 0 0 1 14 0 0 1 58
Total Journal Articles 0 1 3 126 1 5 23 629

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Statistics updated 2025-08-05