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 2 2 3 27
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 4 8 15 55
Arbitrage-free SVI volatility surfaces 2 3 7 44 15 29 54 301
Asymptotic arbitrage in the Heston model 0 0 0 6 4 6 7 32
Asymptotic behaviour of the fractional Heston model 0 0 1 15 4 5 9 78
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 3 5 8 178
Asymptotic skew under stochastic volatility 0 0 0 163 1 6 6 366
Asymptotics of forward implied volatility 0 0 0 22 0 0 1 30
Black-Scholes in a CEV random environment 0 0 0 3 3 4 5 34
Convergence of Heston to SVI 0 0 0 35 1 6 12 142
From characteristic functions to implied volatility expansions 0 0 0 7 1 2 3 30
Functional central limit theorems for rough volatility 0 0 0 30 4 8 10 76
Generalised arbitrage-free SVI volatility surfaces 0 1 3 44 5 7 24 223
How many paths to simulate correlated Brownian motions? 0 0 0 9 1 3 4 19
Implied volatility in strict local martingale models 0 0 1 8 2 4 9 26
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 2 6 43
Large deviations for the extended Heston model: the large-time case 0 0 0 5 1 5 6 49
Large-Maturity Regimes of the Heston Forward Smile 0 0 0 2 2 7 11 29
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 1 1 21 5 9 11 44
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 2 3 6 28
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 1 3 4 30
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 1 4 5 22
On VIX Futures in the rough Bergomi model 0 0 0 42 5 11 18 124
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 3 9 11 47
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 2 3 11 28
Shapes of implied volatility with positive mass at zero 0 0 0 12 2 8 9 29
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 1 36 0 3 5 40
The Small-Maturity Heston Forward Smile 0 1 1 2 3 5 7 35
The Smile of certain L\'evy-type Models 0 0 0 2 0 1 4 27
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 3 3 4 23
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 1 1 6 52
The randomised Heston model 0 0 0 14 3 7 10 46
Variance Dispersion and Correlation Swaps 0 0 2 1,970 8 10 16 7,258
Variance dispersion and correlation swaps 0 1 2 48 1 9 12 153
Total Working Papers 2 7 19 2,716 93 198 332 9,724

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 1 5 1 1 3 22
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 1 3 3 31
Arbitrage-free SVI volatility surfaces 1 1 3 37 12 23 39 164
Convergence of Heston to SVI 0 1 1 13 1 6 10 66
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 1 1 1 43
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 1 2 4 41
Large-maturity regimes of the Heston forward smile 0 0 0 2 8 10 12 31
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 1 7 9 110
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 1 2 7 3 6 11 41
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 1 1 21 4 7 7 111
The large-maturity smile for the Heston model 0 0 1 14 2 4 7 64
Total Journal Articles 1 4 9 133 35 70 106 724

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Statistics updated 2026-02-12