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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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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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3
Variance dispersion and correlation swaps
Jacquier, Antoine
(
contributor
);
Slaoui, Saad
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003503852
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4
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
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5
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
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