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 3 8 11 51
Arbitrage-free SVI volatility surfaces 0 1 5 42 9 31 40 286
Asymptotic arbitrage in the Heston model 0 0 0 6 2 2 3 28
Asymptotic behaviour of the fractional Heston model 0 0 1 15 1 4 5 74
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 1 4 5 175
Asymptotic skew under stochastic volatility 0 0 0 163 5 5 5 365
Asymptotics of forward implied volatility 0 0 0 22 0 0 1 30
Black-Scholes in a CEV random environment 0 0 0 3 1 1 2 31
Convergence of Heston to SVI 0 0 0 35 4 9 11 141
From characteristic functions to implied volatility expansions 0 0 0 7 1 2 2 29
Functional central limit theorems for rough volatility 0 0 0 30 1 4 6 72
Generalised arbitrage-free SVI volatility surfaces 1 1 3 44 1 14 19 218
How many paths to simulate correlated Brownian motions? 0 0 0 9 1 2 3 18
Implied volatility in strict local martingale models 0 0 1 8 1 3 7 24
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 2 3 6 43
Large deviations for the extended Heston model: the large-time case 0 0 0 5 2 5 5 48
Large-Maturity Regimes of the Heston Forward Smile 0 0 0 2 0 7 10 27
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 1 1 21 0 4 6 39
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 1 2 4 26
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 2 2 3 29
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 1 3 4 21
On VIX Futures in the rough Bergomi model 0 0 0 42 6 10 13 119
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 6 8 44
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 1 7 9 26
Shapes of implied volatility with positive mass at zero 0 0 0 12 4 6 7 27
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 1 36 3 3 5 40
The Small-Maturity Heston Forward Smile 1 1 1 2 1 3 4 32
The Smile of certain L\'evy-type Models 0 0 0 2 1 1 4 27
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 0 1 1 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 4 8 43
Variance Dispersion and Correlation Swaps 0 0 2 1,970 1 2 8 7,250
Variance dispersion and correlation swaps 0 1 2 48 6 8 11 152
Total Working Papers 2 5 17 2,714 64 167 242 9,631

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 2 2 30
Arbitrage-free SVI volatility surfaces 0 0 2 36 6 20 27 152
Convergence of Heston to SVI 0 1 1 13 1 9 9 65
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 1 2 3 40
Large-maturity regimes of the Heston forward smile 0 0 0 2 2 3 5 23
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 3 6 8 109
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 2 2 7 2 5 8 38
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 1 1 21 2 3 3 107
The large-maturity smile for the Heston model 0 0 1 14 1 4 5 62
Total Journal Articles 0 4 8 132 19 55 73 689

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Statistics updated 2026-01-09