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 1 9 34
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 0 0 19 62
Arbitrage-free SVI volatility surfaces 0 2 17 58 2 17 126 381
Asymptotic arbitrage in the Heston model 0 0 0 6 0 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 3 14 185
Asymptotic skew under stochastic volatility 0 0 0 163 0 0 7 367
Asymptotics of forward implied volatility 0 0 0 22 1 2 5 35
Black-Scholes in a CEV random environment 0 0 1 4 0 1 8 38
Convergence of Heston to SVI 1 1 1 36 1 3 20 152
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 3 12 80
Generalised arbitrage-free SVI volatility surfaces 0 0 3 46 1 2 47 251
How many paths to simulate correlated Brownian motions? 0 0 0 9 0 1 7 23
Implied volatility in strict local martingale models 0 0 0 8 0 1 8 29
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 1 7 47
Large deviations for the extended Heston model: the large-time case 0 0 0 5 0 2 10 53
Large-Maturity Regimes of the Heston Forward Smile 0 0 2 4 0 0 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 0 1 6 30
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 1 6 33
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 0 1 8 26
On VIX Futures in the rough Bergomi model 0 0 0 42 0 1 19 128
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 2 12 50
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 0 2 13 32
Shapes of implied volatility with positive mass at zero 1 1 1 13 1 3 11 32
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 1 1 1 37 1 1 15 52
The Small-Maturity Heston Forward Smile 0 0 1 2 1 2 12 41
The Smile of certain L\'evy-type Models 0 0 0 2 1 2 7 33
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 1 1 13 0 2 9 28
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 1 1 11 61
The randomised Heston model 0 0 0 14 1 2 11 50
Variance Dispersion and Correlation Swaps 0 1 1 1,971 4 16 46 7,294
Variance dispersion and correlation swaps 0 0 1 48 1 3 29 173
Total Working Papers 3 7 31 2,740 18 78 578 10,042

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 1 2 5 25
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 0 1 10 38
Arbitrage-free SVI volatility surfaces 2 2 7 43 13 20 92 224
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 1 1 1 22 1 3 14 117
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 2 14 118
The large-maturity smile for the Heston model 0 0 0 14 0 0 12 70
Total Journal Articles 3 3 12 140 16 29 209 843

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Statistics updated 2026-10-11