E-LIB Suche - Ergebnisse für: Jacquier, Antoine

1

Functional central limit theorems for rough volatility:

Horvath, Blanka ; Jacquier, Antoine ; Muguruza, Aitor.
Finance and Stochastics. 28 (2024) 3 - p. 615-661 , 2024

Link: https://doi.org/10.1007/..

2

Interest rate convexity in a Gaussian framework:

Jacquier, Antoine ; Oumgari, Mugad
Quantitative Finance. 24 (2024) 6 - p. 677-689 , 2024

Link: https://doi.org/10.1080/..

3

Deep Curve-Dependent PDEs for Affine Rough Volatility:

Jacquier, Antoine ; Oumgari, Mugad
SIAM Journal on Financial Mathematics. 14 (2023) 2 - p. 353-382 , 2023

Link: https://doi.org/10.1137/..

4

The log‐moment formula for implied volatility:

Raval, Vimal ; Jacquier, Antoine
Mathematical Finance. 33 (2023) 4 - p. 1146-1165 , 2023

Link: https://doi.org/10.1111/..

5

Large and moderate deviations for importance sampling in th..:

Geha, Marc ; Jacquier, Antoine ; Žurič, Žan
Annals of Operations Research. 336 (2023) 1-2 - p. 47-92 , 2023

Link: https://doi.org/10.1007/..

6

A quantum generative adversarial network for distributions:

Assouel, Amine ; Jacquier, Antoine ; Kondratyev, Alexei
Quantum Machine Intelligence. 4 (2022) 2 - p. , 2022

Link: https://doi.org/10.1007/..

7

QUANTUM MACHINE LEARNING AND OPTIMISATION IN FINANCE: on th..:

Jacquier, Antoine ; Kondratyev, Oleksiy ; Lipton, Alexander. , 2022

Link: https://learning.oreilly..

8

Large and moderate deviations for stochastic Volterra syste..:

Jacquier, Antoine ; Pannier, Alexandre
Stochastic Processes and their Applications. 149 (2022) - p. 142-187 , 2022

Link: https://doi.org/10.1016/..

9

Pathwise large deviations for the rough Bergomi model: Corr..:

Gerhold, Stefan ; Jacquier, Antoine ; Pakkanen, Mikko..
Journal of Applied Probability. 58 (2021) 3 - p. 849-850 , 2021

Link: https://doi.org/10.1017/..

10

Short Communication: Dynamics of Symmetric SSVI Smiles and ..:

Amrani, Mehdi El ; Jacquier, Antoine ; Martini, Claude
SIAM Journal on Financial Mathematics. 12 (2021) 2 - p. SC1-SC15 , 2021

Link: https://doi.org/10.1137/..

11

Short Communication: A Quantum Algorithm for Linear PDEs Ar..:

Fontanela, Filipe ; Jacquier, Antoine ; Oumgari, Mugad
SIAM Journal on Financial Mathematics. 12 (2021) 4 - p. SC98-SC114 , 2021

Link: https://doi.org/10.1137/..

12

Perturbation analysis of sub/super hedging problems:

Badikov, Sergey ; Davis, Mark H.A. ; Jacquier, Antoine
Mathematical Finance. 31 (2021) 4 - p. 1240-1274 , 2021

Link: https://doi.org/10.1111/..

13

SMALL-TIME MODERATE DEVIATIONS FOR THE RANDOMISED HESTON MO..:

JACQUIER, ANTOINE ; SHI, FANGWEI
Journal of Applied Probability. 57 (2020) 1 - p. 19-28 , 2020

Link: https://www.jstor.org/st..

14

Volatility Options in Rough Volatility Models:

Horvath, Blanka ; Jacquier, Antoine ; Tankov, Peter
SIAM Journal on Financial Mathematics. 11 (2020) 2 - p. 437-469 , 2020

Link: https://doi.org/10.1137/..

15

Anomalous Diffusions in Option Prices: Connecting Trade Dur..:

Jacquier, Antoine ; Torricelli, Lorenzo
SIAM Journal on Financial Mathematics. 11 (2020) 4 - p. 1137-1167 , 2020

Link: https://doi.org/10.1137/..