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Results 1-10 of 18
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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)
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; 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)
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
-From characteristic functions to implied volatility expansionsJacquier, A; Lorig, M
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)