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 2 2 27
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 1 8 15 56
Arbitrage-free SVI volatility surfaces 4 6 11 48 12 36 66 313
Asymptotic arbitrage in the Heston model 0 0 0 6 1 7 8 33
Asymptotic behaviour of the fractional Heston model 0 0 1 15 0 5 9 78
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 1 5 9 179
Asymptotic skew under stochastic volatility 0 0 0 163 0 6 6 366
Asymptotics of forward implied volatility 0 0 0 22 3 3 3 33
Black-Scholes in a CEV random environment 0 0 0 3 0 4 5 34
Convergence of Heston to SVI 0 0 0 35 0 5 10 142
From characteristic functions to implied volatility expansions 0 0 0 7 0 2 3 30
Functional central limit theorems for rough volatility 0 0 0 30 0 5 10 76
Generalised arbitrage-free SVI volatility surfaces 1 2 3 45 5 11 28 228
How many paths to simulate correlated Brownian motions? 0 0 0 9 0 2 4 19
Implied volatility in strict local martingale models 0 0 1 8 2 5 10 28
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 0 3 6 49
Large-Maturity Regimes of the Heston Forward Smile 2 2 2 4 2 4 11 31
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 1 21 0 5 10 44
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 0 3 5 28
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 3 4 30
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 0 2 5 22
On VIX Futures in the rough Bergomi model 0 0 0 42 0 11 17 124
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 1 4 12 48
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 0 3 9 28
Shapes of implied volatility with positive mass at zero 0 0 0 12 0 6 9 29
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 1 36 4 7 9 44
The Small-Maturity Heston Forward Smile 0 1 1 2 2 6 8 37
The Smile of certain L\'evy-type Models 0 0 0 2 1 2 5 28
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 0 3 4 23
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 2 3 6 54
The randomised Heston model 0 0 0 14 2 7 11 48
Variance Dispersion and Correlation Swaps 0 0 2 1,970 4 13 18 7,262
Variance dispersion and correlation swaps 0 0 2 48 2 9 14 155
Total Working Papers 7 11 25 2,723 45 202 357 9,769

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 3 22
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 0 2 3 31
Arbitrage-free SVI volatility surfaces 2 3 5 39 12 30 51 176
Convergence of Heston to SVI 0 0 1 13 0 2 10 66
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 2 3 3 45
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 2 4 41
Large-maturity regimes of the Heston forward smile 0 0 0 2 4 14 15 35
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 0 4 9 110
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 2 7 4 9 14 45
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 21 1 7 8 112
The large-maturity smile for the Heston model 0 0 1 14 0 3 7 64
Total Journal Articles 2 3 11 135 23 77 127 747

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Statistics updated 2026-03-04