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Antoine Jacquier

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Personal Details

First Name: Antoine
Middle Name:
Last Name: Jacquier
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RePEc Short-ID: pja132

Email:
Homepage: http://www2.imperial.ac.uk/~ajacquie/
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Affiliation

Imperial College London - Department of Mathematics
Homepage: http://www.ma.ic.ac.uk
Location: London, UK

Works

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Working papers

  1. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised Oct 2013.
  2. Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.
  3. Jim Gatheral & Antoine Jacquier, 2012. "Arbitrage-free SVI volatility surfaces," Papers 1204.0646, arXiv.org, revised Mar 2013.
  4. Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011. "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers 1108.3998, arXiv.org.
  5. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011. "A note on essential smoothness in the Heston model," Papers 1107.4881, arXiv.org.
  6. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.
  7. Jim Gatheral & Antoine Jacquier, 2010. "Convergence of Heston to SVI," Papers 1002.3633, arXiv.org.
  8. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992, arXiv.org, revised May 2010.
  9. Antoine Jacquier, 2007. "Asymptotic skew under stochastic volatility," Birkbeck Working Papers in Economics and Finance 0703, Birkbeck, Department of Economics, Mathematics & Statistics.
  10. Antoine Jacquier & Saad Slaoui, 2007. "Variance Dispersion and Correlation Swaps," Birkbeck Working Papers in Economics and Finance 0712, Birkbeck, Department of Economics, Mathematics & Statistics.

Articles

  1. Martin Forde & Antoine Jacquier & Aleksandar Mijatović, 2011. "A note on essential smoothness in the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 781-784, December.
  2. Jim Gatheral & Antoine Jacquier, 2011. "Convergence of Heston to SVI," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
  3. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
  4. Martin Forde & Antoine Jacquier, 2011. "Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 517-535, April.
  5. Martin Forde & Antoine Jacquier, 2010. "Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 241-259.
  6. Martin Forde & Antoine Jacquier, 2009. "Small-Time Asymptotics For Implied Volatility Under The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 861-876.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ETS: Econometric Time Series (3) 2007-02-10 2011-08-29 2011-11-21. Author is listed
  2. NEP-MAC: Macroeconomics (1) 2007-09-30

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