Antoine Jacquier

According to our database, Antoine Jacquier authored at least 27 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Deep Curve-Dependent PDEs for Affine Rough Volatility.

Antoine Jacquier, Mugad Oumgari

SIAM J. Financial Math., June, 2023

Unsupervised Random Quantum Networks for PDEs.

Josh Dees, Antoine Jacquier, Sylvain Laizet

CoRR, 2023

Natural Language Processing for Financial Regulation.

Ixandra Achitouv, Dragos Gorduza, Antoine Jacquier

CoRR, 2023

Universal Approximation Theorem and error bounds for quantum neural networks and quantum reservoirs.

Lukas Gonon, Antoine Jacquier

CoRR, 2023

2022

A quantum generative adversarial network for distributions.

Amine Assouel, Antoine Jacquier, Alexei Kondratyev

Quantum Mach. Intell., 2022

2021

Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance.

Filipe Fontanela, Antoine Jacquier, Mugad Oumgari

SIAM J. Financial Math., 2021

Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles.

Mehdi El Amrani, Antoine Jacquier, Claude Martini

SIAM J. Financial Math., 2021

Pathwise large deviations for the rough Bergomi model: Corrigendum.

Stefan Gerhold, Antoine Jacquier, Mikko S. Pakkanen, Henry Stone, Thomas Wagenhofer

J. Appl. Probab., 2021

2020

Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure.

Antoine Jacquier, Lorenzo Torricelli

SIAM J. Financial Math., 2020

Volatility Options in Rough Volatility Models.

Blanka Horvath, Antoine Jacquier, Peter Tankov

SIAM J. Financial Math., 2020

Small-time moderate deviations for the randomised Heston model.

Antoine Jacquier, Fangwei Shi

J. Appl. Probab., 2020

2019

The Randomized Heston Model.

Antoine Jacquier, Fangwei Shi

SIAM J. Financial Math., 2019

Asymptotic behaviour of randomised fractional volatility models.

Blanka Horvath, Antoine Jacquier, Chloé Lacombe

J. Appl. Probab., 2019

2018

Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks.

Antoine Jacquier, Hao Liu

SIAM J. Financial Math., 2018

Implied Volatility in Strict Local Martingale Models.

Antoine Jacquier, Martin Keller-Ressel

SIAM J. Financial Math., 2018

Asymptotic Behavior of the Fractional Heston Model.

Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi

SIAM J. Financial Math., 2018

Pathwise large deviations for the rough Bergomi model.

Antoine Jacquier, Mikko S. Pakkanen, Henry Stone

J. Appl. Probab., 2018

2017

Shapes of Implied Volatility with Positive Mass at Zero.

Stefano De Marco, Caroline Hillairet, Antoine Jacquier

SIAM J. Financial Math., 2017

2016

Generalized Arbitrage-Free SVI Volatility Surfaces.

Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt

SIAM J. Financial Math., 2016

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients.

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov

SIAM J. Financial Math., 2016

2015

Asymptotics of Forward Implied Volatility.

Antoine Jacquier, Patrick Roome

SIAM J. Financial Math., 2015

2013

The Small-Maturity Heston Forward Smile.

Antoine Jacquier, Patrick Roome

SIAM J. Financial Math., 2013

The Smile of Certain Lévy-Type Models.

Antoine Jacquier, Matthew J. Lorig

SIAM J. Financial Math., 2013

Correction note for 'The large-maturity smile for the Heston model'.

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic

Finance Stochastics, 2013

2012

The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model.

Martin Forde, Antoine Jacquier, Roger Lee

SIAM J. Financial Math., 2012

2011

A note on essential smoothness in the Heston model.

Martin Forde, Antoine Jacquier, Aleksandar Mijatovic

Finance Stochastics, 2011

The large-maturity smile for the Heston model.

Martin Forde, Antoine Jacquier

Finance Stochastics, 2011