Large Deviations for the Extended Heston Model: The Large-Time Case.
- Published in:
- Asia-Pacific Financial Markets, 2014, v. 21, n. 3, p. 263, doi. 10.1007/s10690-014-9185-8
- By:
- Publication type:
- Article
Works by Jacquier, Antoine
Results: 27
1
2
Functional central limit theorems for rough volatility.
- Published in:
- Finance & Stochastics, 2024, v. 28, n. 3, p. 615, doi. 10.1007/s00780-024-00533-5
- By:
- Publication type:
- Article
3
Correction note for 'The large-maturity smile for the Heston model'.
- Published in:
- 2013
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- Publication type:
- Erratum
4
The large-maturity smile for the Heston model.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 4, p. 755, doi. 10.1007/s00780-010-0147-3
- By:
- Publication type:
- Article
5
A note on essential smoothness in the Heston model.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 4, p. 781, doi. 10.1007/s00780-011-0162-z
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- Publication type:
- Article
6
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2019, v. 91, n. 1, p. 37, doi. 10.1080/17442508.2018.1499105
- By:
- Publication type:
- Article
7
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2013, v. 85, n. 2, p. 321, doi. 10.1080/17442508.2012.720687
- By:
- Publication type:
- Article
8
Unsupervised random quantum networks for PDEs.
- Published in:
- Quantum Information Processing, 2024, v. 23, n. 10, p. 1, doi. 10.1007/s11128-024-04537-0
- By:
- Publication type:
- Article
9
Interest rate convexity in a Gaussian framework.
- Published in:
- Quantitative Finance, 2024, v. 24, n. 6, p. 677, doi. 10.1080/14697688.2024.2356234
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- Publication type:
- Article
10
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics.
- Published in:
- Quantitative Finance, 2018, v. 18, n. 10, p. 1753, doi. 10.1080/14697688.2018.1432883
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- Publication type:
- Article
11
On VIX futures in the rough Bergomi model.
- Published in:
- Quantitative Finance, 2018, v. 18, n. 1, p. 45, doi. 10.1080/14697688.2017.1353127
- By:
- Publication type:
- Article
12
No-arbitrage bounds for the forward smile given marginals.
- Published in:
- Quantitative Finance, 2017, v. 17, n. 8, p. 1243, doi. 10.1080/14697688.2016.1267392
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- Publication type:
- Article
13
Arbitrage-free SVI volatility surfaces.
- Published in:
- Quantitative Finance, 2014, v. 14, n. 1, p. 59, doi. 10.1080/14697688.2013.819986
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- Publication type:
- Article
14
Convergence of Heston to SVI.
- Published in:
- Quantitative Finance, 2011, v. 11, n. 8, p. 1129, doi. 10.1080/14697688.2010.550931
- By:
- Publication type:
- Article
15
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 8, p. -1, doi. 10.1142/S0219024915500557
- By:
- Publication type:
- Article
16
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 6, p. 861, doi. 10.1142/S021902490900549X
- By:
- Publication type:
- Article
17
The log‐moment formula for implied volatility.
- Published in:
- Mathematical Finance, 2023, v. 33, n. 4, p. 1146, doi. 10.1111/mafi.12396
- By:
- Publication type:
- Article
18
Perturbation analysis of sub/super hedging problems.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 4, p. 1240, doi. 10.1111/mafi.12321
- By:
- Publication type:
- Article
19
Pathwise moderate deviations for option pricing.
- Published in:
- Mathematical Finance, 2020, v. 30, n. 2, p. 426, doi. 10.1111/mafi.12228
- By:
- Publication type:
- Article
20
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model.
- Published in:
- Applied Mathematical Finance, 2011, v. 18, n. 6, p. 517, doi. 10.1080/1350486X.2011.591159
- By:
- Publication type:
- Article
21
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility.
- Published in:
- Applied Mathematical Finance, 2010, v. 17, n. 3, p. 241, doi. 10.1080/13504860903335348
- By:
- Publication type:
- Article
22
Rough multi-factor volatility for SPX and VIX options.
- Published in:
- Advances in Applied Probability, 2025, v. 57, n. 2, p. 524, doi. 10.1017/apr.2024.45
- By:
- Publication type:
- Article
23
FROM CHARACTERISTIC FUNCTIONS TO IMPLIED VOLATILITY EXPANSIONS.
- Published in:
- Advances in Applied Probability, 2015, v. 47, n. 3, p. 837, doi. 10.1239/aap/1444308884
- By:
- Publication type:
- Article
24
Large and moderate deviations for importance sampling in the Heston model.
- Published in:
- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 47, doi. 10.1007/s10479-023-05424-0
- By:
- Publication type:
- Article
25
Small-time moderate deviations for the randomised Heston model.
- Published in:
- Journal of Applied Probability, 2020, v. 57, n. 1, p. 19, doi. 10.1017/jpr.2019.73
- By:
- Publication type:
- Article
26
Asymptotic behaviour of randomised fractional volatility models.
- Published in:
- Journal of Applied Probability, 2019, v. 56, n. 2, p. 496, doi. 10.1017/jpr.2019.27
- By:
- Publication type:
- Article
27
Pathwise large deviations for the rough Bergomi model.
- Published in:
- Journal of Applied Probability, 2018, v. 55, n. 4, p. 1078, doi. 10.1017/jpr.2018.72
- By:
- Publication type:
- Article