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 1 6 8 48
Arbitrage-free SVI volatility surfaces 1 2 5 42 5 24 31 277
Asymptotic arbitrage in the Heston model 0 0 0 6 0 0 1 26
Asymptotic behaviour of the fractional Heston model 0 0 1 15 0 3 4 73
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 1 4 4 174
Asymptotic skew under stochastic volatility 0 0 0 163 0 0 0 360
Asymptotics of forward implied volatility 0 0 0 22 0 0 1 30
Black-Scholes in a CEV random environment 0 0 0 3 0 0 1 30
Convergence of Heston to SVI 0 0 0 35 1 5 8 137
From characteristic functions to implied volatility expansions 0 0 0 7 0 1 1 28
Functional central limit theorems for rough volatility 0 0 0 30 3 3 5 71
Generalised arbitrage-free SVI volatility surfaces 0 0 2 43 1 13 19 217
How many paths to simulate correlated Brownian motions? 0 0 0 9 1 1 3 17
Implied volatility in strict local martingale models 0 0 1 8 1 2 7 23
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 4 4 41
Large deviations for the extended Heston model: the large-time case 0 0 0 5 2 3 3 46
Large-Maturity Regimes of the Heston Forward Smile 0 0 0 2 5 7 10 27
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 1 1 1 21 4 4 6 39
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 0 1 3 25
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 0 1 27
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 2 3 3 20
On VIX Futures in the rough Bergomi model 0 0 0 42 0 4 7 113
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 6 7 8 44
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 0 6 8 25
Shapes of implied volatility with positive mass at zero 0 0 0 12 2 2 3 23
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 1 36 0 0 3 37
The Small-Maturity Heston Forward Smile 0 0 0 1 1 2 3 31
The Smile of certain L\'evy-type Models 0 0 0 2 0 0 4 26
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 0 1 2 20
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 0 1 5 51
The randomised Heston model 0 0 0 14 2 2 6 41
Variance Dispersion and Correlation Swaps 0 0 2 1,970 1 1 7 7,249
Variance dispersion and correlation swaps 1 1 2 48 2 3 5 146
Total Working Papers 3 4 15 2,712 41 113 185 9,567

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 0 1 2 21
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 1 1 1 29
Arbitrage-free SVI volatility surfaces 0 2 2 36 5 17 21 146
Convergence of Heston to SVI 1 1 1 13 4 8 8 64
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 0 0 1 42
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 1 2 39
Large-maturity regimes of the Heston forward smile 0 0 0 2 0 1 3 21
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 3 3 5 106
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 1 2 2 7 1 3 6 36
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 1 1 1 21 1 1 1 105
The large-maturity smile for the Heston model 0 0 1 14 1 3 4 61
Total Journal Articles 3 6 8 132 16 39 54 670

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Statistics updated 2025-12-06