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q-fin.MF2026
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…
q-fin.MF2023
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…