64 citations · 204 across the 26 of their papers we have counts for
6 papers · 1 filter
Rough multifactor volatility for SPX and VIX options
Antoine Jacquier, Aitor Muguruza, Alexandre Pannier
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-fa…
Portfolio optimisation with options
Jonathan Raimana Chan, Thomas Huckle, Antoine Jacquier +1
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality a…
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…
A Quantum Generative Adversarial Network for distributions
Amine Assouel, Antoine Jacquier, Alexei Kondratyev
Generative Adversarial Networks are becoming a fundamental tool in Machine Learning, in particular in the context of improving the stability of deep neural networks. At the same ti…
Market regime classification with signatures
Paul Bilokon, Antoine Jacquier, Conor McIndoe
We provide a data-driven algorithm to classify market regimes for time series. We utilise the path signature, encoding time series into easy-to-describe objects, and provide a metr…
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…