64 citations · 204 across the 26 of their papers we have counts for
6 papers · 1 filter
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…
The Smile of certain Lévy-type Models
Antoine Jacquier, Matthew Lorig
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential Lévy-type process subject to default. The class of processes we consider features…
From characteristic functions to implied volatility expansions
Antoine Jacquier, Matthew Lorig
For any strictly positive martingale for which has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in th…
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…