activity
20102025
most citedIn-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models

1 citations · 1 across the 3 of their papers we have counts for

collaborators
Showing 2014Show all

2 papers · 1 filter

math.PR2014

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)…

q-fin.PR2014

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…