Antoine Jacquier : Citation Profile


Are you Antoine Jacquier?

8

H index

7

i10 index

226

Citations

RESEARCH PRODUCTION:

11

Articles

34

Papers

RESEARCH ACTIVITY:

   12 years (2007 - 2019). See details.
   Cites by year: 18
   Journals where Antoine Jacquier has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 23 (9.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja132
   Updated: 2022-05-21    RAS profile: 2017-12-18    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Antoine Jacquier.

Is cited by:

Pascucci, Andrea (7)

Platen, Eckhard (4)

Dew-Becker, Ian (3)

Itkin, Andrey (3)

Giglio, Stefano (3)

Tedeschi, Gabriele (3)

Berger, David (3)

Carr, Peter (2)

Oosterlee, Cornelis (2)

TANKOV, PETER (2)

Reichmann, Oleg (2)

Cites to:

Renault, Eric (9)

merton, robert (4)

Rogers, Leonard (4)

Chen, Zhiwu (3)

Stein, Jeremy (3)

Cao, Charles (3)

TANKOV, PETER (2)

Fengler, Matthias (2)

Benhamou, Eric (2)

Weron, Rafał (2)

Schied, Alexander (2)

Main data


Where Antoine Jacquier has published?


Journals with more than one article published# docs
Finance and Stochastics3
Quantitative Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org30

Recent works citing Antoine Jacquier (2021 and 2020)


YearTitle of citing document
2020Algorithmic trading in a microstructural limit order book model. (2019). Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446.

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2021Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543.

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2020Strong convergence rates for Markovian representations of fractional Brownian motion. (2019). Harms, Philipp. In: Papers. RePEc:arx:papers:1902.01471.

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2020Building arbitrage-free implied volatility: Sinkhorns algorithm and variants. (2019). Henry-Labordere, Pierre ; de March, Hadrien. In: Papers. RePEc:arx:papers:1902.04456.

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2021Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2001.09850.

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2020Volatility has to be rough. (2020). Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2002.09215.

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2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

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2022Large and moderate deviations for stochastic Volterra systems. (2020). Pannier, Alexandre ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2004.10571.

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2020Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347.

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2021No arbitrage SVI. (2020). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2005.03340.

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2020Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility. (2020). Ogetbil, Orcan. In: Papers. RePEc:arx:papers:2005.05530.

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2020Deep Importance Sampling. (2020). Virrion, Benjamin. In: Papers. RePEc:arx:papers:2007.02692.

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2020On the harmonic mean representation of the implied volatility. (2020). de Marco, Stefano. In: Papers. RePEc:arx:papers:2007.03585.

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2020The Multiplicative Chaos of $H=0$ Fractional Brownian Fields. (2020). Neuman, Eyal ; Hager, Paul. In: Papers. RePEc:arx:papers:2008.01385.

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2020Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454.

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2021Weak error rates for option pricing under the rough Bergomi model. (2020). Tempone, Ra'Ul ; Hall, Eric Joseph ; Bayer, Christian. In: Papers. RePEc:arx:papers:2009.01219.

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2021Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814.

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2021A note on the option price and Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. (2020). Wu, Lixin ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2011.00557.

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2021A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353.

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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2021Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299.

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2021The Log Moment formula for implied volatility. (2021). Raval, Vimal ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2101.08145.

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2021Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales. (2021). Martini, Claude ; Raffaelli, Iacopo. In: Papers. RePEc:arx:papers:2105.06390.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2021Explicit no arbitrage domain for sub-SVIs via reparametrization. (2021). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2106.02418.

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2022A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2021Deep calibration of the quadratic rough Heston model. (2021). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2107.01611.

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2021A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742.

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2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2021An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465.

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2021Rough multifactor volatility for SPX and VIX options. (2021). Pannier, Alexandre ; Muguruza, Aitor ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2112.14310.

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2022Risk-Neutral Market Simulation. (2022). Wiese, Magnus ; Murray, Phillip. In: Papers. RePEc:arx:papers:2202.13996.

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2022Multivariate Stochastic Volatility Models and Large Deviation Principles. (2022). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2203.09015.

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2022No arbitrage global parametrization for the eSSVI volatility surface. (2022). Mingone, Arianna. In: Papers. RePEc:arx:papers:2204.00312.

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2020A regularity structure for rough volatility. (2020). Stemper, Benjamin ; Martin, Jorg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832.

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2021Small?time, large?time, and H?0 asymptotics for the Rough Heston model. (2021). Smith, Benjamin ; Gerhold, Stefan ; Forde, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:203-241.

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2021Perturbation analysis of sub/super hedging problems. (2021). Jacquier, Antoine ; Badikov, Sergey. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1240-1274.

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2020Arbitrage-free interpolation of call option prices. (2020). Christian, Bender ; Matthias, Thiel. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:37:y:2020:i:1-2:p:55-78:n:2.

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2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2021Model risk and model choice in the case of barrier options and bonus certificates. (2021). Shkel, David ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002594.

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2020Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching. (2020). He, Xin-Jiang ; Lin, Sha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315456.

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2020Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions. (2020). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:6:p:3648-3686.

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2021Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79.

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2020Effective asymptotic analysis for finance. (2020). Grunspan, Cyril ; van der Hoeven, Joris. In: Post-Print. RePEc:hal:journl:hal-01573621.

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2020Robust Calibration For SVI Model Arbitrage Free. (2020). Ferhati, Tahar. In: Working Papers. RePEc:hal:wpaper:hal-02490029.

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2020SVI Model Free Wings. (2020). Ferhati, Tahar. In: Working Papers. RePEc:hal:wpaper:hal-02517572.

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2020Deep Importance Sampling. (2020). Virrion, Benjamin. In: Working Papers. RePEc:hal:wpaper:hal-02887331.

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2021KRIGING FOR IMPLIED VOLATILITY SURFACE. (2021). Gueye, Djibril ; Cousin, Areski. In: Working Papers. RePEc:hal:wpaper:hal-03274026.

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2020Conditional dependence in post-crisis markets: dispersion and correlation skew trades. (2020). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00847-y.

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2021Hedging Cryptocurrency Options. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: MPRA Paper. RePEc:pra:mprapa:110774.

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2020A Black–Scholes inequality: applications and generalisations. (2020). Tehranchi, Michael R. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00410-6.

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2021A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching. (2021). Chen, Wenting. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:343-352.

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2020Efficient trinomial trees for local‐volatility models in pricing double‐barrier options. (2020). Lok, Hou U ; Lyuu, YuhDauh . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:556-574.

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2020EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE. (2020). van der Hoeven, Joris ; Grunspan, Cyril. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500132.

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Works by Antoine Jacquier:


YearTitleTypeCited
2010Asymptotic formulae for implied volatility in the Heston model In: Papers.
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paper13
2010Convergence of Heston to SVI In: Papers.
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paper15
2011Convergence of Heston to SVI.(2011) In: Quantitative Finance.
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This paper has another version. Agregated cites: 15
article
2010Variance dispersion and correlation swaps In: Papers.
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paper3
2007Variance Dispersion and Correlation Swaps.(2007) In: Birkbeck Working Papers in Economics and Finance.
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This paper has another version. Agregated cites: 3
paper
2011A note on essential smoothness in the Heston model In: Papers.
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paper1
2011A note on essential smoothness in the Heston model.(2011) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 1
article
2011Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models In: Papers.
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paper4
2013Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations In: Papers.
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paper12
2012Large deviations for the extended Heston model: the large-time case In: Papers.
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paper5
2014Large Deviations for the Extended Heston Model: The Large-Time Case.(2014) In: Asia-Pacific Financial Markets.
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This paper has another version. Agregated cites: 5
article
2013Arbitrage-free SVI volatility surfaces In: Papers.
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paper56
2014Arbitrage-free SVI volatility surfaces.(2014) In: Quantitative Finance.
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This paper has another version. Agregated cites: 56
article
2014From characteristic functions to implied volatility expansions In: Papers.
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paper0
2013The Smile of certain L\evy-type Models In: Papers.
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paper4
2016Generalised arbitrage-free SVI volatility surfaces In: Papers.
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paper8
2015Asymptotics of forward implied volatility In: Papers.
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paper7
2014Asymptotic arbitrage in the Heston model In: Papers.
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paper0
2015ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 0
article
2013The Small-Maturity Heston Forward Smile In: Papers.
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paper5
2013Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] In: Papers.
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paper0
2017Shapes of implied volatility with positive mass at zero In: Papers.
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paper7
2016An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients In: Papers.
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paper6
2015Large-Maturity Regimes of the Heston Forward Smile In: Papers.
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paper2
2016Large-maturity regimes of the Heston forward smile.(2016) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 2
article
2017Asymptotic behaviour of the fractional Heston model In: Papers.
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paper4
2016Mass at zero in the uncorrelated SABR model and implied volatility asymptotics In: Papers.
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paper2
2017Black-Scholes in a CEV random environment In: Papers.
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paper0
2015Implied volatility in strict local martingale models In: Papers.
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paper0
2016No-arbitrage bounds for the forward smile given marginals In: Papers.
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paper1
2018The randomised Heston model In: Papers.
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2017Optimal liquidation in a Level-I limit order book for large tick stocks In: Papers.
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paper3
2017On VIX Futures in the rough Bergomi model In: Papers.
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paper2
2018Pathwise large deviations for the Rough Bergomi model In: Papers.
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paper12
2017How many paths to simulate correlated Brownian motions? In: Papers.
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paper0
2017The implied volatility of Forward-Start options: ATM short-time level, skew and curvature In: Papers.
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paper0
2019Functional central limit theorems for rough volatility In: Papers.
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paper6
2007Asymptotic skew under stochastic volatility In: Birkbeck Working Papers in Economics and Finance.
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paper0
2017The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature In: Working Papers.
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2017The implied volatility of forward starting options: ATM short-time level, skew and curvature.(2017) In: Economics Working Papers.
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2011The large-maturity smile for the Heston model In: Finance and Stochastics.
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article16
2013Correction note for ‘The large-maturity smile for the Heston model’ In: Finance and Stochastics.
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article0
2010Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility In: Applied Mathematical Finance.
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article8
2011Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model In: Applied Mathematical Finance.
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article15
2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article9

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