64 citations · 204 across the 26 of their papers we have counts for
9 papers · 1 filter
Rough volatility, path-dependent PDEs and weak rates of convergence
Ofelia Bonesini, Antoine Jacquier, Alexandre Pannier
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-depende…
On the large-time behaviour of affine Volterra processes
Antoine Jacquier, Alexandre Pannier, Konstantinos Spiliopoulos
We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcomin…
Large and moderate deviations for stochastic Volterra systems
Antoine Jacquier, Alexandre Pannier
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not…
On the uniqueness of solutions of stochastic Volterra equations
Alexandre Pannier, Antoine Jacquier
We prove strong existence and uniqueness, and Hölder regularity, of a large class of stochastic Volterra equations, with singular kernels and non-Lipschitz diffusion coefficient. E…
Asymptotic behaviour of randomised fractional volatility models
B. Horvath, A. Jacquier, C. Lacombe
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asy…
Pathwise large deviations for the Rough Bergomi model
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the no…