Antoine Jacquier

Finance · 2009–2017

A researcher in the Science corpus: 7 papers; trusts 20 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

Whom Antoine Jacquier trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Jim Gatheral
  2. Daniel Dufresne
  3. Roger Lee
  4. Pierre Henry-Labordère
  5. Alan L. Lewis
  6. L. Paulot
  7. Roger Lee
  8. Terry Lyons
  9. Christian Bayer
  10. Peter K. Friz

Who trusts Antoine Jacquier overall

  1. Jim Gatheral
  2. Christian Bayer

Papers from Antoine Jacquier's perspective

Ordered by how strongly the researchers Antoine Jacquier trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Volatility is rough
  2. Asymptotics and calibration of local volatility models
  3. Pricing under rough volatility
  4. Option Valuation under Stochastic Volatility
  5. Derivatives in Financial Markets with Stochastic Volatility
  6. A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives
  7. Stochastic finance. an introduction in discrete time
  8. Asymptotic formulae for implied volatility in the Heston model (Proceedings of the Royal Society A)
  9. Arbitrage-free smoothing of the implied volatility surface
  10. Moment explosions in stochastic volatility models (Finance and Stochastics)

Their papers