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 1 6 8 33
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients 0 0 0 7 0 6 20 62
Arbitrage-free SVI volatility surfaces 0 3 18 56 9 28 114 364
Asymptotic arbitrage in the Heston model 0 0 0 6 0 7 16 41
Asymptotic behaviour of the fractional Heston model 0 0 0 15 0 3 14 84
Asymptotic formulae for implied volatility in the Heston model 0 0 0 72 0 2 12 182
Asymptotic skew under stochastic volatility 0 0 0 163 0 1 7 367
Asymptotics of forward implied volatility 0 0 0 22 0 0 3 33
Black-Scholes in a CEV random environment 0 1 1 4 0 3 8 37
Convergence of Heston to SVI 0 0 0 35 0 7 17 149
From characteristic functions to implied volatility expansions 0 0 0 7 0 5 8 35
Functional central limit theorems for rough volatility 0 0 0 30 0 1 11 77
Generalised arbitrage-free SVI volatility surfaces 0 1 3 46 0 19 45 249
How many paths to simulate correlated Brownian motions? 0 0 0 9 0 3 7 22
Implied volatility in strict local martingale models 0 0 1 8 0 0 8 28
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models 0 0 0 20 0 3 9 46
Large deviations for the extended Heston model: the large-time case 0 0 0 5 0 1 8 51
Large-Maturity Regimes of the Heston Forward Smile 0 0 2 4 1 2 14 34
Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations 0 0 1 21 0 3 12 47
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] 0 0 0 12 0 1 5 29
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics 0 0 0 5 0 2 5 32
No-arbitrage bounds for the forward smile given marginals 0 0 0 1 0 3 8 25
On VIX Futures in the rough Bergomi model 0 0 0 42 0 1 19 127
Optimal liquidation in a Level-I limit order book for large tick stocks 0 0 0 28 0 0 11 48
Pathwise large deviations for the Rough Bergomi model 0 0 0 4 0 1 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 0 5 14 51
The Small-Maturity Heston Forward Smile 0 0 1 2 0 0 10 39
The Smile of certain L\'evy-type Models 0 0 0 2 0 2 5 31
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature 0 0 0 12 0 2 7 26
The implied volatility of forward starting options: ATM short-time level, skew and curvature 0 0 0 13 0 4 10 60
The randomised Heston model 0 0 0 14 0 0 10 48
Variance Dispersion and Correlation Swaps 0 0 1 1,970 3 14 32 7,278
Variance dispersion and correlation swaps 0 0 2 48 1 7 29 170
Total Working Papers 0 5 30 2,733 15 142 525 9,964

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 0 1 3 23
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL 0 0 0 1 0 6 9 37
Arbitrage-free SVI volatility surfaces 0 2 7 41 6 17 76 204
Convergence of Heston to SVI 0 0 1 13 0 2 12 68
Correction note for ‘The large-maturity smile for the Heston model’ 0 0 0 10 0 5 9 51
Large Deviations for the Extended Heston Model: The Large-Time Case 0 0 0 2 0 2 5 43
Large-maturity regimes of the Heston forward smile 0 0 0 2 0 4 19 39
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 0 0 0 21 1 3 12 114
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL 0 0 2 7 0 2 17 49
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 0 0 1 21 0 2 12 116
The large-maturity smile for the Heston model 0 0 0 14 0 6 12 70
Total Journal Articles 0 2 11 137 7 50 186 814

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Statistics updated 2026-07-10