Raval, Vimal; Jacquier, Antoine The log-moment formula for implied volatility. (English) Zbl 07797376 Math. Finance 33, No. 4, 1146-1165 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{V. Raval} and \textit{A. Jacquier}, Math. Finance 33, No. 4, 1146--1165 (2023; Zbl 07797376) Full Text: DOI arXiv OA License
Gulisashvili, Archil; Horvath, Blanka; Jacquier, Antoine Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. (English) Zbl 1406.91463 Quant. Finance 18, No. 10, 1753-1765 (2018). MSC: 91G30 60H10 60H30 91G99 91G60 PDFBibTeX XMLCite \textit{A. Gulisashvili} et al., Quant. Finance 18, No. 10, 1753--1765 (2018; Zbl 1406.91463) Full Text: DOI arXiv
Jacquier, Antoine; Keller-Ressel, Martin Implied volatility in strict local martingale models. (English) Zbl 1408.91239 SIAM J. Financ. Math. 9, No. 1, 171-189 (2018). MSC: 91G70 91G20 60G48 41A60 PDFBibTeX XMLCite \textit{A. Jacquier} and \textit{M. Keller-Ressel}, SIAM J. Financ. Math. 9, No. 1, 171--189 (2018; Zbl 1408.91239) Full Text: DOI arXiv
Jacquier, Antoine; Roome, Patrick Large-maturity regimes of the Heston forward smile. (English) Zbl 1336.60055 Stochastic Processes Appl. 126, No. 4, 1087-1123 (2016). MSC: 60F10 60H30 60H10 91G80 91G60 PDFBibTeX XMLCite \textit{A. Jacquier} and \textit{P. Roome}, Stochastic Processes Appl. 126, No. 4, 1087--1123 (2016; Zbl 1336.60055) Full Text: DOI arXiv