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Results 1-10 of 14
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Issue DateTitleAuthor(s)
-An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEsChassagneux, JFC; Jacquier, A; Mihyalov, IM; Engineering & Physical Science Research Council (EPSRC)
15-Sep-2016Generalized Arbitrage-Free SVI Volatility SurfacesGuo, GG; Jacquier, A; Martini, CM; Neufcourt, LN; Engineering & Physical Science Research Council (EPSRC)
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P; Engineering & Physical Science Research Council (EPSRC)
30-Jan-2018Implied volatility in strict local martingale modelsJacquier, A; Keller-Ressel, MKR; Engineering & Physical Science Research Council (EPSRC)
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
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
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)
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
14-Sep-2017Shapes of implied volatility with positive mass at zeroDe Marco, SDM; Hillairet, CH; Jacquier, A; Engineering & Physical Science Research Council (EPSRC)