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Results 1-10 of 26
Item hits:
Issue DateTitleAuthor(s)
15-Sep-2016Generalized Arbitrage-Free SVI Volatility SurfacesGuo, GG; Jacquier, A; Martini, CM; Neufcourt, LN;
30-Jul-2014Large deviations for the extended Heston model: the large-time caseJacquier, A; Mijatovic, A
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P;
30-Jan-2018Implied volatility in strict local martingale modelsJacquier, A; Keller-Ressel, MKR;
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR;
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH;
27-Oct-2016On the probability of hitting the boundary for Brownian motions on the SABR planeGulisashvili, AG; Horvath, BH; Jacquier, A;
14-Sep-2017Shapes of implied volatility with positive mass at zeroDe Marco, SDM; Hillairet, CH; Jacquier, A;
4-May-2016Two examples of non strictly convex large deviationsDe Marco, S; Jacquier, A; Roome, P;

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