Concepedia

Antoine Jacquier

AJ

31

Publications

1.1K

Citations

16

H-Index

2007

Active since

Affiliations

Imperial College London(Current)

The Alan Turing Institute

Dublin City University

Technische Universität Berlin

Weierstrass Institute for Applied Analysis and Stochastics

Antoine Jacquier is an author at Imperial College London specializing in engineering, business, and volatility modeling.

Top concepts

EngineeringBusinessVolatility ModelingOption PricingStochastic CalculusProbabilityAsset PricingMultivariate Stochastic VolatilityFinanceStatistics

Publications per year

2007–2023

31

Publications

31

The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model

Martin Forde, Antoine Jacquier, Roger Lee · SIAM Journal on Financial Mathematics · 2012 · 121 citations · Full text

Volatility Modeling, Option Pricing, Financial Economics +9

SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL

Martin Forde, Antoine Jacquier · International Journal of Theoretical and Applied Finance · 2009 · 116 citations

Spectral Theory, Large Deviations, Option Pricing +11

The large-maturity smile for the Heston model

Martin Forde, Antoine Jacquier · Finance and Stochastics · 2010 · 76 citations

Large-maturity Smile, Social Behavior, Psychology +1

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov · SIAM Journal on Financial Mathematics · 2016 · 66 citations

Numerical Analysis, Engineering, Modified Explicit Euler +19

Asymptotic formulae for implied volatility in the Heston model

Martin Forde, Antoine Jacquier, Aleksandar Mijatović · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 64 citations · Full text

Spectral Theory, Engineering, Stochastic Calculus +7

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