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Results 1-10 of 21
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Issue DateTitleAuthor(s)
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
20-Apr-2015An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficientsChassagneux, J-F; Jacquier, A; Mihaylov, I
27-Oct-2016On the probability of hitting the boundary for Brownian motions on the SABR planeGulisashvili, AG; Horvath, BH; Jacquier, A; Engineering & Physical Science Research Council (EPSRC); Swiss National Science Foundation
2-Jan-2014Arbitrage-free SVI volatility surfacesGatheral, J; Jacquier, A
30-Jul-2014Large deviations for the extended Heston model: the large-time caseJacquier, A; Mijatovic, A
-From characteristic functions to implied volatility expansionsJacquier, A; Lorig, M
21-Nov-2015Large-maturity regimes of the Heston forward smileJacquier, A; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH; Engineering & Physical Science Research Council (EPSRC)
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
1-Sep-2018Mass at zero in the uncorrelated SABR model and implied volatility asymptoticsGulisashvili, A; Horvath, B; Jacquier, A; Engineering & Physical Science Research Council (EPSRC); Engineering and Physical Sciences Research Council