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Convergence of Heston to SVI
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Rough volatility
Bayer, Christian
(
ed.
);
Friz, Peter K.
(
ed.
); …
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2024
Persistent link: https://www.econbiz.de/10014560254
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Asymptotic skew under stochastic volatility
Jacquier, Antoine
(
contributor
)
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2007
Persistent link: https://www.econbiz.de/10003408497
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3
Marco Avellaneda : mathematician and trader
Gatheral, Jim
- In:
Mathematical finance : an international journal of …
33
(
2023
)
1
,
pp. 16-18
Persistent link: https://www.econbiz.de/10014278657
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The log-moment formula for implied volatility
Raval, Vimal
;
Jacquier, Antoine
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1146-1165
Persistent link: https://www.econbiz.de/10014370644
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Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin
;
Jacquier, Antoine
- In:
Applied mathematical finance
17
(
2010
)
3/4
,
pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin
;
Jacquier, Antoine
- In:
International journal of theoretical and applied finance
12
(
2009
)
6
,
pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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Small-time asymptotics for an uncorrelated local-stochastic volatility model
Forde, Martin
;
Jacquier, Antoine
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 517-535
Persistent link: https://www.econbiz.de/10009422535
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A note on essential smoothness in the Heston model
Forde, Martin
;
Jacquier, Antoine
;
Mijatović, Aleksandar
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 781-784
Persistent link: https://www.econbiz.de/10009423265
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9
The large-maturity smile for the Heston model
Forde, Martin
;
Jacquier, Antoine
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 755-780
Persistent link: https://www.econbiz.de/10009423267
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Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine
;
Mijatović, Aleksandar
- In:
Asia-Pacific financial markets
21
(
2014
)
3
,
pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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