64 citations · 204 across the 26 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
Optimal liquidation in a Level-I limit order book for large tick stocks
Antoine Jacquier, Hao Liu
We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with spread equal to one tick. All order book events (market orders, l…