Antoine Jacquier

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math.PR2023

Transportation-cost inequalities for non-linear Gaussian functionals

Ioannis Gasteratos, Antoine Jacquier

We study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the rea…

math.PR2023

$X$ PDE for $X \in {BS, FBS, P}$ : a rough volatility context

Ofelia Bonesini, Antoine Jacquier

Recent mathematical advances in the context of rough volatility have highlighted interesting and intricate connections between path-dependent partial differential equations and bac…

Transportation-cost inequalities for non-linear Gaussian functionals

XPDE for X∈{BS,FBS,P}: a rough volatility context

$X$ PDE for $X \in {BS, FBS, P}$ : a rough volatility context