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 5 5 7 32
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 4 5 19 60
Arbitrage-free SVI volatility surfaces 2 11 18 55 12 47 100 348
Asymptotic arbitrage in the Heston model 0 0 0 6 7 9 16 41
Asymptotic behaviour of the fractional Heston model 0 0 1 15 2 5 14 83
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 2 4 12 182
Asymptotic skew under stochastic volatility 0 0 0 163 1 1 7 367
Asymptotics of forward implied volatility 0 0 0 22 0 3 3 33
Black-Scholes in a CEV random environment 1 1 1 4 2 2 7 36
Convergence of Heston to SVI 0 0 0 35 6 6 16 148
From characteristic functions to implied volatility expansions 0 0 0 7 5 5 8 35
Functional central limit theorems for rough volatility 0 0 0 30 1 1 11 77
Generalised arbitrage-free SVI volatility surfaces 0 1 3 45 16 23 46 246
How many paths to simulate correlated Brownian motions? 0 0 0 9 3 3 7 22
Implied volatility in strict local martingale models 0 0 1 8 0 2 9 28
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 3 3 9 46
Large deviations for the extended Heston model: the large-time case 0 0 0 5 1 2 8 51
Large-Maturity Regimes of the Heston Forward Smile 0 2 2 4 1 4 13 33
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 1 21 2 2 12 46
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 1 1 5 29
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 2 2 6 32
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 3 3 8 25
On VIX Futures in the rough Bergomi model 0 0 0 42 1 3 19 127
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 1 11 48
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 1 2 11 30
Shapes of implied volatility with positive mass at zero 0 0 0 12 0 0 8 29
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 0 36 4 10 14 50
The Small-Maturity Heston Forward Smile 0 0 1 2 0 4 10 39
The Smile of certain L\'evy-type Models 0 0 0 2 2 4 8 31
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 2 3 7 26
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 4 8 12 60
The randomised Heston model 0 0 0 14 0 2 10 48
Variance Dispersion and Correlation Swaps 0 0 2 1,970 8 14 28 7,272
Variance dispersion and correlation swaps 0 0 2 48 2 12 24 165
Total Working Papers 3 15 32 2,731 103 201 505 9,925

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 1 1 4 23
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 6 6 9 37
Arbitrage-free SVI volatility surfaces 0 2 5 39 7 30 68 194
Convergence of Heston to SVI 0 0 1 13 2 2 12 68
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 4 7 8 50
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 2 2 5 43
Large-maturity regimes of the Heston forward smile 0 0 0 2 3 7 18 38
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 2 3 12 113
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 2 7 1 7 16 48
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 21 2 5 12 116
The large-maturity smile for the Heston model 0 0 0 14 4 4 10 68
Total Journal Articles 0 2 10 135 34 74 174 798

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Statistics updated 2026-05-06