64 citations · 204 across the 26 of their papers we have counts for
4 papers · 2 filters
Asymptotics of forward implied volatility
Antoine Jacquier, Patrick Roome
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic…
Generalised arbitrage-free SVI volatility surfaces
Gaoyue Guo, Antoine Jacquier, Claude Martini +1
In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss…
Arbitrage-free SVI volatility surfaces
Jim Gatheral, Antoine Jacquier
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In p…
Large deviations for the extended Heston model: the large-time case
Antoine Jacquier, Aleksandar Mijatovic
We study here the large-time behaviour of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity…