6 citations · 6 across the 3 of their papers we have counts for
6 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…
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…
Interest rate convexity in a Gaussian framework
Antoine Jacquier, Mugad Oumgari
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precis…
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…
Deep Curve-dependent PDEs for affine rough volatility
Antoine Jacquier, Mugad Oumgari
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent…
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…