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Asymptotic arbitrage in the Heston model

Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18

Persistent link: https://www.econbiz.de/10011419412

On VIX futures in the rough Bergomi model

Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10011905829

The implied volatility of forward starting options : ATM short-time level, skew and curvature

Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017

Persistent link: https://www.econbiz.de/10011686975

The implied volatility of forward starting options : ATM short-time level, skew and curvature

Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017

Persistent link: https://www.econbiz.de/10011778056

Black-Scholes in a CEV random environment

Jacquier, Antoine; Roome, Patrick - In: Mathematics and financial economics 12 (2018) 3, pp. 445-474

Persistent link: https://www.econbiz.de/10011963872

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

Gulisashvili, Archil; Horvath, Blanka Nora; Jacquier, … - In: Quantitative finance 18 (2018) 10, pp. 1753-1765

Persistent link: https://www.econbiz.de/10012261909

Functional central limit theorems for rough volatility

Horvath, Blanka Nora; Jacquier, Antoine; Muguruza, Aitor; … - In: Finance and stochastics 28 (2024) 3, pp. 615-661

Persistent link: https://www.econbiz.de/10015130353

Interest rate convexity in a Gaussian framework

Jacquier, Antoine; Oumgari, Mugad - In: Quantitative finance 24 (2024) 6, pp. 677-689

Persistent link: https://www.econbiz.de/10015050786

Functional quantization of rough volatility and applications to volatility derivatives

Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792

Persistent link: https://www.econbiz.de/10014452470

Valuation of volatility derivatives as an inverse problem

Friz, Peter; Gatheral, Jim - In: Quantitative Finance 5 (2005) 6, pp. 531-542

Ground-breaking recent work by Carr and Lee extends well-known results for variance swaps to arbitrary functions of realized variance, provided a zero-correlation assumption is made. We give a detailed mathematical analysis of some of their computations and work out the cases of volatility swaps...

Persistent link: https://www.econbiz.de/10005462679