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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.PR2016
On the probability of hitting the boundary for Brownian motions on the SABR plane
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which c…