Horvath, Blanka; Jacquier, Antoine; Tankov, Peter Volatility options in rough volatility models. (English) Zbl 1443.91293 SIAM J. Financ. Math. 11, No. 2, 437-469 (2020). MSC: 91G20 91G60 65C05 PDFBibTeX XMLCite \textit{B. Horvath} et al., SIAM J. Financ. Math. 11, No. 2, 437--469 (2020; Zbl 1443.91293) Full Text: DOI arXiv
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. The implied volatility of forward-start options: ATM short-time level, skew and curvature. (English) Zbl 1494.91149 Stochastics 91, No. 1, 37-51 (2019). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Stochastics 91, No. 1, 37--51 (2019; Zbl 1494.91149) Full Text: DOI arXiv
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei Asymptotic behavior of the fractional Heston model. (English) Zbl 1416.91375 SIAM J. Financ. Math. 9, No. 3, 1017-1045 (2018). MSC: 91G20 60G22 91B70 60H30 PDFBibTeX XMLCite \textit{H. Guennoun} et al., SIAM J. Financ. Math. 9, No. 3, 1017--1045 (2018; Zbl 1416.91375) Full Text: DOI arXiv
Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. (English) Zbl 1298.91166 Stochastics 85, No. 2, 321-345 (2013). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60F10 91B70 PDFBibTeX XMLCite \textit{A. Jacquier} et al., Stochastics 85, No. 2, 321--345 (2013; Zbl 1298.91166) Full Text: DOI arXiv
Forde, Martin; Jacquier, Antoine The large-maturity smile for the Heston model. (English) Zbl 1303.91174 Finance Stoch. 15, No. 4, 755-780 (2011); corrigendum ibid. 15, No. 4, 781-784 (2011); corrigendum ibid. 17, No. 1, 223-224 (2013). MSC: 91G20 91B70 60H30 60F10 60G44 PDFBibTeX XMLCite \textit{M. Forde} and \textit{A. Jacquier}, Finance Stoch. 15, No. 4, 755--780 (2011; Zbl 1303.91174) Full Text: DOI Link