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 2 9 34
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 0 0 20 62
Arbitrage-free SVI volatility surfaces 1 2 18 58 6 24 126 379
Asymptotic arbitrage in the Heston model 0 0 0 6 1 1 16 42
Asymptotic behaviour of the fractional Heston model 0 0 0 15 0 0 14 84
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 1 2 14 184
Asymptotic skew under stochastic volatility 0 0 0 163 0 0 7 367
Asymptotics of forward implied volatility 0 0 0 22 0 1 4 34
Black-Scholes in a CEV random environment 0 0 1 4 1 1 8 38
Convergence of Heston to SVI 0 0 0 35 1 2 19 151
From characteristic functions to implied volatility expansions 0 0 0 7 0 0 8 35
Functional central limit theorems for rough volatility 0 0 0 30 1 2 11 79
Generalised arbitrage-free SVI volatility surfaces 0 0 3 46 1 1 46 250
How many paths to simulate correlated Brownian motions? 0 0 0 9 1 1 7 23
Implied volatility in strict local martingale models 0 0 0 8 1 1 8 29
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 1 1 10 47
Large deviations for the extended Heston model: the large-time case 0 0 0 5 2 2 10 53
Large-Maturity Regimes of the Heston Forward Smile 0 0 2 4 0 1 14 34
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 1 21 0 0 12 47
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 1 1 6 30
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 1 1 6 33
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 1 1 9 26
On VIX Futures in the rough Bergomi model 0 0 0 42 1 1 19 128
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 2 2 13 50
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 2 2 13 32
Shapes of implied volatility with positive mass at zero 0 0 0 12 2 2 10 31
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 0 36 0 0 14 51
The Small-Maturity Heston Forward Smile 0 0 1 2 1 1 11 40
The Smile of certain L\'evy-type Models 0 0 0 2 1 1 6 32
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 1 1 1 13 2 2 9 28
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 0 0 10 60
The randomised Heston model 0 0 0 14 1 1 10 49
Variance Dispersion and Correlation Swaps 0 1 1 1,971 6 15 42 7,290
Variance dispersion and correlation swaps 0 0 1 48 1 3 29 172
Total Working Papers 2 4 29 2,737 40 75 570 10,024

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 5 0 1 4 24
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 0 1 10 38
Arbitrage-free SVI volatility surfaces 0 0 7 41 4 13 82 211
Convergence of Heston to SVI 0 0 1 13 0 1 13 69
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 0 0 9 51
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 0 5 43
Large-maturity regimes of the Heston forward smile 0 0 0 2 0 0 19 39
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 1 3 13 116
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 2 7 0 0 16 49
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 21 1 1 13 117
The large-maturity smile for the Heston model 0 0 0 14 0 0 12 70
Total Journal Articles 0 0 11 137 6 20 196 827

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Statistics updated 2026-09-10