6 citations · 6 across the 3 of their papers we have counts for
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q-fin.PR2023
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…
q-fin.PR2019★ 6 cited
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…