Concepedia
Statistics
Publications
31
Citations
1.1K
H-Index
16
Active since
2007
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
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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