Antoine Jacquier
- An explicit Euler scheme with strong rate of convergence for financial\n SDEs with non-Lipschitz coefficients
2014/05/14 by Jean-François Chassagneux, Antoine Jacquier, Chassagneux, Jean-Francois +3 · 3 citations
Economics, Econometrics and Finance · Social Sciences · #60H10 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Monetary Policy and Economic Impact #Numerical Analysis (math.NA) #Stochastic processes and financial applications
- Asymptotic behaviour of the fractional Heston model
2014/11/27 by Hamza Guennoun, Antoine Jacquier, Guennoun, Hamza +5 · 2 citations
Economics, Econometrics and Finance · #60F10 #91B25 #91G99 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
- Rough differential equations for volatility
2024/12/30 by Ofelia Bonesini, Bonesini, Ofelia, Emilio Ferrucci +5 · 5 citations
Economics, Econometrics and Finance · #60G22 #60L20 #60L90 #65C30 #91G20 #91G60 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
- Operator Deep Smoothing for Implied Volatility
2024/06/17 by Ruben Wiedemann, Wiedemann, Ruben, Antoine Jacquier +3 · 3 citations
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #Stochastic processes and financial applications
- Anomalous diffusions in option prices: connecting trade duration and the\n volatility term structure
2019/08/08 by Antoine Jacquier, Lorenzo Torricelli, Jacquier, Antoine +1 · 1 citation
Economics, Econometrics and Finance · #91G20 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- Propagation of a carbon price in a credit portfolio through macroeconomic factors
2023/07/24 by Géraldine Bouveret, Bouveret, Géraldine, Jean-François Chassagneux +7 · 1 citation
Economics, Econometrics and Finance · #Climate Change Policy and Economics #Economic theories and models #FOS: Economics and business #General Economics (econ.GN) #Mathematical Finance (q-fin.MF) #Risk Management (q-fin.RM)