5 citations · 8 across the 5 of their papers we have counts for
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q-fin.MF2021★ 2 cited
Rough multifactor volatility for SPX and VIX options
Antoine Jacquier, Aitor Muguruza, Alexandre Pannier
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-fa…
q-fin.PM2021
Portfolio optimisation with options
Jonathan Raimana Chan, Thomas Huckle, Antoine Jacquier +1
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality a…