64 citations · 204 across the 26 of their papers we have counts for
24 papers · 1 filter
Interest rate convexity in a Gaussian framework
Antoine Jacquier, Mugad Oumgari
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precis…
Random neural networks for rough volatility
Antoine Jacquier, Zan Zuric
We construct a deep learning-based numerical algorithm to solve path-dependent partial differential equations arising in the context of rough volatility. Our approach is based on i…
Large and moderate deviations for importance sampling in the Heston model
Marc Geha, Antoine Jacquier, Zan Zuric
We provide a detailed importance sampling analysis for variance reduction in stochastic volatility models. The optimal change of measure is obtained using a variety of results from…
The Log Moment formula for implied volatility
Vimal Raval, Antoine Jacquier
We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that when the underlying stock price martingale admits finite log-moments E[|log(S)|^q] fo…
A theoretical analysis of Guyon's toy volatility model
Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its beha…
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
Antoine Jacquier, Lorenzo Torricelli
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponentia…