1 citations · 1 across the 3 of their papers we have counts for
7 papers
Feeling the generalised rough SABR boundary
Masaaki Fukasawa, Antoine Jacquier, Mugad Oumgari
We provide an in-depth analysis of a generalised rough version of the SABR volatility model, widely used in the financial industry. We specifically focus on its behaviour at the or…
Quantitative Universal Approximation for Noisy Quantum Neural Networks
Lukas Gonon, Antoine Jacquier, Marcel Mordarski
We provide here a universal approximation theorem with precise quantitative error bounds for noisy quantum neural networks. We focus on applications to Quantitative Finance, where…
Quantum Computing for Financial Mathematics
Antoine Jacquier, Oleksiy Kondratyev, Gordon Lee +1
Quantum computing has recently appeared in the headlines of many scientific and popular publications. In the context of quantitative finance, we provide here an overview of its pot…
A Quantum algorithm for linear PDEs arising in Finance
Filipe Fontanela, Antoine Jacquier, Mugad Oumgari
We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equ…
Dynamics of symmetric SSVI smiles and implied volatility bubbles
Mehdi El Amrani, Antoine Jacquier, Claude Martini
We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurre…
Stacked Monte Carlo for option pricing
Antoine Jacquier, Emma R. Malone, Mugad Oumgari
We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit…
Asymptotic arbitrage in the Heston model
Fatma Haba, Antoine Jacquier
In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept…