64 citations · 204 across the 26 of their papers we have counts for
Showing 2017 · q-fin.PRShow all
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q-fin.PR2017
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Elisa Alos, Antoine Jacquier, Jorge Leon
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Mark…
q-fin.PR2017
On VIX Futures in the rough Bergomi model
Antoine Jacquier, Claude Martini, Aitor Muguruza
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles i…