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 0 5 15 56
Arbitrage-free SVI volatility surfaces 5 11 16 53 23 50 88 336
Asymptotic arbitrage in the Heston model 0 0 0 6 1 6 9 34
Asymptotic behaviour of the fractional Heston model 0 0 1 15 3 7 12 81
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 1 5 10 180
Asymptotic skew under stochastic volatility 0 0 0 163 0 1 6 366
Asymptotics of forward implied volatility 0 0 0 22 0 3 3 33
Black-Scholes in a CEV random environment 0 0 0 3 0 3 5 34
Convergence of Heston to SVI 0 0 0 35 0 1 10 142
From characteristic functions to implied volatility expansions 0 0 0 7 0 1 3 30
Functional central limit theorems for rough volatility 0 0 0 30 0 4 10 76
Generalised arbitrage-free SVI volatility surfaces 0 1 3 45 2 12 30 230
How many paths to simulate correlated Brownian motions? 0 0 0 9 0 1 4 19
Implied volatility in strict local martingale models 0 0 1 8 0 4 10 28
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 0 6 43
Large deviations for the extended Heston model: the large-time case 0 0 0 5 1 2 7 50
Large-Maturity Regimes of the Heston Forward Smile 0 2 2 4 1 5 12 32
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 2 4 28
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 1 4 30
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 0 1 5 22
On VIX Futures in the rough Bergomi model 0 0 0 42 2 7 18 126
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 4 11 48
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 1 3 10 29
Shapes of implied volatility with positive mass at zero 0 0 0 12 0 2 8 29
The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature 0 0 0 36 2 6 10 46
The Small-Maturity Heston Forward Smile 0 0 1 2 2 7 10 39
The Smile of certain L\'evy-type Models 0 0 0 2 1 2 6 29
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 1 4 5 24
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 2 5 8 56
The randomised Heston model 0 0 0 14 0 5 10 48
Variance Dispersion and Correlation Swaps 0 0 2 1,970 2 14 20 7,264
Variance dispersion and correlation swaps 0 0 2 48 8 11 22 163
Total Working Papers 5 14 29 2,728 53 191 403 9,822

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 1 3 31
Arbitrage-free SVI volatility surfaces 0 3 5 39 11 35 62 187
Convergence of Heston to SVI 0 0 1 13 0 1 10 66
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 1 4 4 46
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 1 4 41
Large-maturity regimes of the Heston forward smile 0 0 0 2 0 12 15 35
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 1 2 10 111
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 2 7 2 9 16 47
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 21 2 7 10 114
The large-maturity smile for the Heston model 0 0 1 14 0 2 7 64
Total Journal Articles 0 3 11 135 17 75 144 764

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Statistics updated 2026-04-09