Antoine Jacquier

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 21

Top Topics

Financial Crisis

Large Deviations

Wavelet Synopses

Top Venues

SIAM J. Financial Math.

J. Appl. Probab.

Ann. Oper. Res.

Publications

Marc Geha, Antoine Jacquier, Zan Zuric
Large and moderate deviations for importance sampling in the Heston model. Ann. Oper. Res. 336 (1-2) (2024)
Ixandra Achitouv, Dragos Gorduza, Antoine Jacquier
Natural Language Processing for Financial Regulation. CoRR (2023)
Josh Dees, Antoine Jacquier, Sylvain Laizet
Unsupervised Random Quantum Networks for PDEs. CoRR (2023)
Lukas Gonon, Antoine Jacquier
Universal Approximation Theorem and error bounds for quantum neural networks and quantum reservoirs. CoRR (2023)
Antoine Jacquier, Mugad Oumgari
Deep Curve-Dependent PDEs for Affine Rough Volatility. SIAM J. Financial Math. 14 (2) (2023)
Amine Assouel, Antoine Jacquier, Alexei Kondratyev
A quantum generative adversarial network for distributions. Quantum Mach. Intell. 4 (2) (2022)
Filipe Fontanela, Antoine Jacquier, Mugad Oumgari
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance. SIAM J. Financial Math. 12 (4) (2021)
Stefan Gerhold, Antoine Jacquier, Mikko S. Pakkanen, Henry Stone, Thomas Wagenhofer
Pathwise large deviations for the rough Bergomi model: Corrigendum. J. Appl. Probab. 58 (3) (2021)
Mehdi El Amrani, Antoine Jacquier, Claude Martini
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles. SIAM J. Financial Math. 12 (2) (2021)
Blanka Horvath, Antoine Jacquier, Peter Tankov
Volatility Options in Rough Volatility Models. SIAM J. Financial Math. 11 (2) (2020)
Antoine Jacquier, Lorenzo Torricelli
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure. SIAM J. Financial Math. 11 (4) (2020)
Antoine Jacquier, Fangwei Shi
Small-time moderate deviations for the randomised Heston model. J. Appl. Probab. 57 (1) (2020)
Blanka Horvath, Antoine Jacquier, Chloé Lacombe
Asymptotic behaviour of randomised fractional volatility models. J. Appl. Probab. 56 (2) (2019)
Antoine Jacquier, Fangwei Shi
The Randomized Heston Model. SIAM J. Financial Math. 10 (1) (2019)
Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi
Asymptotic Behavior of the Fractional Heston Model. SIAM J. Financial Math. 9 (3) (2018)
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
Pathwise large deviations for the rough Bergomi model. J. Appl. Probab. 55 (4) (2018)
Antoine Jacquier, Hao Liu
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks. SIAM J. Financial Math. 9 (3) (2018)
Antoine Jacquier, Martin Keller-Ressel
Implied Volatility in Strict Local Martingale Models. SIAM J. Financial Math. 9 (1) (2018)
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
Shapes of Implied Volatility with Positive Mass at Zero. SIAM J. Financial Math. 8 (1) (2017)
Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt
Generalized Arbitrage-Free SVI Volatility Surfaces. SIAM J. Financial Math. 7 (1) (2016)
Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. 7 (1) (2016)
Antoine Jacquier, Patrick Roome
Asymptotics of Forward Implied Volatility. SIAM J. Financial Math. 6 (1) (2015)
Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic
Correction note for 'The large-maturity smile for the Heston model'. Finance Stochastics 17 (1) (2013)
Antoine Jacquier, Matthew J. Lorig
The Smile of Certain Lévy-Type Models. SIAM J. Financial Math. 4 (1) (2013)
Antoine Jacquier, Patrick Roome
The Small-Maturity Heston Forward Smile. SIAM J. Financial Math. 4 (1) (2013)
Martin Forde, Antoine Jacquier, Roger Lee
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model. SIAM J. Financial Math. 3 (1) (2012)
Martin Forde, Antoine Jacquier, Aleksandar Mijatovic
A note on essential smoothness in the Heston model. Finance Stochastics 15 (4) (2011)
Martin Forde, Antoine Jacquier
The large-maturity smile for the Heston model. Finance Stochastics 15 (4) (2011)