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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
PDE for : 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…
math.PR2017
Functional central limit theorems for rough volatility
Blanka Horvath, Antoine Jacquier, Aitor Muguruza +1
The non-Markovian nature of rough volatility processes makes Monte Carlo methods challenging and it is in fact a major challenge to develop fast and accurate simulation algorithms.…