1 citations · 1 across the 3 of their papers we have counts for
6 papers
Rough Bergomi turns grey
Antoine Jacquier, Adriano Oliveri Orioles, Zan Zuric
We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of mo…
In-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models
Antoine Jacquier, Johannes Muhle-Karbe, Joseph Mulligan
We study how much the in-sample performance of trading strategies based on linear predictive models is reduced out-of-sample due to overfitting. More specifically, we compute the i…
The randomised Heston model
Antoine Jacquier, Fangwei Shi
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a…
Two examples of non strictly convex large deviations
Stefano De Marco, Antoine Jacquier, Patrick Roome
We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model)…
Large-Maturity Regimes of the Heston Forward Smile
Antoine Jacquier, Patrick Roome
We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large de…
Variance dispersion and correlation swaps
Antoine Jacquier, Saad Slaoui
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interest…