Antoine Jacquier

34 papers A* 1Journal 33

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	A Theoretical Analysis of Guyon's Toy Volatility Model. SIAM J. Financial Math. Ofelia Bonesini, Antoine Jacquier, Chloé Lacombe
2025	J	`jnl`	Novelty detection on path space. CoRR Ioannis Gasteratos, Antoine Jacquier, Maud Lemercier, Terry J. Lyons, Cristopher Salvi
2025	A*	`conf`	Operator Deep Smoothing for Implied Volatility. ICLR Ruben Wiedemann, Antoine Jacquier, Lukas Gonon
2025	J	`jnl`	Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors. SIAM J. Financial Math. Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou, Antoine Jacquier, Lionel Sopgoui
2025	J	`jnl`	Universal Approximation Theorem and Error Bounds for Quantum Neural Networks and Quantum Reservoirs. IEEE Trans. Neural Networks Learn. Syst. Lukas Gonon, Antoine Jacquier
2024	J	`jnl`	Large and moderate deviations for importance sampling in the Heston model. Ann. Oper. Res. Marc Geha, Antoine Jacquier, Zan Zuric
2024	J	`jnl`	Unsupervised random quantum networks for PDEs. Quantum Inf. Process. Josh Dees, Antoine Jacquier, Sylvain Laizet
2023	J	`jnl`	Deep Curve-Dependent PDEs for Affine Rough Volatility. SIAM J. Financial Math. Antoine Jacquier, Mugad Oumgari
2023	J	`jnl`	Natural Language Processing for Financial Regulation. CoRR Ixandra Achitouv, Dragos Gorduza, Antoine Jacquier
2023	J	`jnl`	Universal Approximation Theorem and error bounds for quantum neural networks and quantum reservoirs. CoRR Lukas Gonon, Antoine Jacquier
2023	J	`jnl`	Unsupervised Random Quantum Networks for PDEs. CoRR Josh Dees, Antoine Jacquier, Sylvain Laizet
2022	J	`jnl`	A quantum generative adversarial network for distributions. Quantum Mach. Intell. Amine Assouel, Antoine Jacquier, Alexei Kondratyev
2021	J	`jnl`	Pathwise large deviations for the rough Bergomi model: Corrigendum. J. Appl. Probab. Stefan Gerhold, Antoine Jacquier, Mikko S. Pakkanen, Henry Stone, Thomas Wagenhofer
2021	J	`jnl`	Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance. SIAM J. Financial Math. Filipe Fontanela, Antoine Jacquier, Mugad Oumgari
2021	J	`jnl`	Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles. SIAM J. Financial Math. Mehdi El Amrani, Antoine Jacquier, Claude Martini
2020	J	`jnl`	Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure. SIAM J. Financial Math. Antoine Jacquier, Lorenzo Torricelli
2020	J	`jnl`	Small-time moderate deviations for the randomised Heston model. J. Appl. Probab. Antoine Jacquier, Fangwei Shi
2020	J	`jnl`	Volatility Options in Rough Volatility Models. SIAM J. Financial Math. Blanka Horvath, Antoine Jacquier, Peter Tankov
2019	J	`jnl`	Asymptotic behaviour of randomised fractional volatility models. J. Appl. Probab. Blanka Horvath, Antoine Jacquier, Chloé Lacombe
2019	J	`jnl`	The Randomized Heston Model. SIAM J. Financial Math. Antoine Jacquier, Fangwei Shi
2018	J	`jnl`	Asymptotic Behavior of the Fractional Heston Model. SIAM J. Financial Math. Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi
2018	J	`jnl`	Implied Volatility in Strict Local Martingale Models. SIAM J. Financial Math. Antoine Jacquier, Martin Keller-Ressel
2018	J	`jnl`	Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks. SIAM J. Financial Math. Antoine Jacquier, Hao Liu
2018	J	`jnl`	Pathwise large deviations for the rough Bergomi model. J. Appl. Probab. Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
2017	J	`jnl`	Shapes of Implied Volatility with Positive Mass at Zero. SIAM J. Financial Math. Stefano De Marco, Caroline Hillairet, Antoine Jacquier
2016	J	`jnl`	An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov
2016	J	`jnl`	Generalized Arbitrage-Free SVI Volatility Surfaces. SIAM J. Financial Math. Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt
2015	J	`jnl`	Asymptotics of Forward Implied Volatility. SIAM J. Financial Math. Antoine Jacquier, Patrick Roome
2013	J	`jnl`	Correction note for 'The large-maturity smile for the Heston model'. Finance Stochastics Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic
2013	J	`jnl`	The Small-Maturity Heston Forward Smile. SIAM J. Financial Math. Antoine Jacquier, Patrick Roome
2013	J	`jnl`	The Smile of Certain Lévy-Type Models. SIAM J. Financial Math. Antoine Jacquier, Matthew J. Lorig
2012	J	`jnl`	The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model. SIAM J. Financial Math. Martin Forde, Antoine Jacquier, Roger Lee
2011	J	`jnl`	A note on essential smoothness in the Heston model. Finance Stochastics Martin Forde, Antoine Jacquier, Aleksandar Mijatovic
2011	J	`jnl`	The large-maturity smile for the Heston model. Finance Stochastics Martin Forde, Antoine Jacquier