Results 1-10 of 19
Publication DateTitleAuthor(s)
4-May-2016Two examples of non strictly convex large deviationsDe Marco, S; Jacquier, A; Roome, P
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH
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
27-Oct-2016On the probability of hitting the boundary for Brownian motions on the SABR planeGulisashvili, AG; Horvath, BH; Jacquier, A
-An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEsChassagneux, JFC; Jacquier, A; Mihyalov, IM
15-Sep-2016Generalized Arbitrage-Free SVI Volatility SurfacesGuo, GG; Jacquier, A; Martini, CM; Neufcourt, LN
20-Apr-2015An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficientsChassagneux, J-F; Jacquier, A; Mihaylov, I
-From characteristic functions to implied volatility expansionsJacquier, A; Lorig, M
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A