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Antoine Jacquier

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.

    Cited by:

    1. Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
    2. Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 2018.
    3. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022. "Short-dated smile under rough volatility: asymptotics and numerics," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
    4. Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
    5. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
    6. Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
    7. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
    8. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
    9. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
    10. Antoine Jacquier & Aitor Muguruza & Alexandre Pannier, 2021. "Rough multifactor volatility for SPX and VIX options," Papers 2112.14310, arXiv.org, revised Nov 2023.
    11. Paul Hager & Eyal Neuman, 2020. "The Multiplicative Chaos of $H=0$ Fractional Brownian Fields," Papers 2008.01385, arXiv.org.
    12. Henry Stone, 2018. "Calibrating rough volatility models: a convolutional neural network approach," Papers 1812.05315, arXiv.org, revised Jul 2019.
    13. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
    14. Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019. "Deep Learning Volatility," Papers 1901.09647, arXiv.org, revised Aug 2019.
    15. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
    16. Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato, 2023. "Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 30(3), pages 123-152, May.
    17. Masaaki Fukasawa, 2020. "Volatility has to be rough," Papers 2002.09215, arXiv.org.
    18. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.

  2. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.

    Cited by:

    1. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    2. Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
    3. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    4. Jos'e E. Figueroa-L'opez & Hyoeun Lee & Raghu Pasupathy, 2017. "Optimal placement of a small order in a diffusive limit order book," Papers 1708.04337, arXiv.org.

  3. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2017. "On VIX Futures in the rough Bergomi model," Papers 1701.04260, arXiv.org.

    Cited by:

    1. Josselin Garnier & Knut Sølna, 2018. "Option pricing under fast-varying and rough stochastic volatility," Annals of Finance, Springer, vol. 14(4), pages 489-516, November.
    2. Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 2018.
    3. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
    4. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
    5. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.

  4. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.

    Cited by:

    1. Christian Bayer & Eric Joseph Hall & Ra'ul Tempone, 2020. "Weak error rates for option pricing under linear rough volatility," Papers 2009.01219, arXiv.org, revised Dec 2021.
    2. Philipp Harms, 2019. "Strong convergence rates for Markovian representations of fractional processes," Papers 1902.01471, arXiv.org, revised Aug 2020.
    3. Elisa Al`os & David Garc'ia-Lorite & Aitor Muguruza, 2018. "On smile properties of volatility derivatives and exotic products: understanding the VIX skew," Papers 1808.03610, arXiv.org.
    4. Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019. "Deep Learning Volatility," Papers 1901.09647, arXiv.org, revised Aug 2019.
    5. Christian Bayer & Benjamin Stemper, 2018. "Deep calibration of rough stochastic volatility models," Papers 1810.03399, arXiv.org.
    6. Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.

  5. Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome, 2016. "No-arbitrage bounds for the forward smile given marginals," Papers 1603.06389, arXiv.org, revised Oct 2016.

    Cited by:

    1. Cox, Alexander M.G. & Kinsley, Sam M., 2019. "Discretisation and duality of optimal Skorokhod embedding problems," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2376-2405.

  6. Archil Gulisashvili & Blanka Horvath & Antoine Jacquier, 2015. "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics," Papers 1502.03254, arXiv.org, revised Nov 2016.

    Cited by:

    1. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
    2. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.

  7. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    2. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.

  8. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    3. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
    4. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2022. "Probability Density of Lognormal Fractional SABR Model," Risks, MDPI, vol. 10(8), pages 1-27, August.
    5. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    6. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.
    7. Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.

  9. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
    3. M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
    4. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
    5. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.

  10. Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov, 2014. "An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients," Papers 1405.3561, arXiv.org, revised Apr 2016.

    Cited by:

    1. Mario Hefter & Arnulf Jentzen, 2019. "On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes," Finance and Stochastics, Springer, vol. 23(1), pages 139-172, January.
    2. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
    3. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
    4. Gao, Xiangyu & Wang, Jianqiao & Wang, Yanxia & Yang, Hongfu, 2022. "The truncated Euler–Maruyama method for CIR model driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 189(C).
    5. Yifan Bai & Xing Huang, 2023. "Log-Harnack Inequality and Exponential Ergodicity for Distribution Dependent Chan–Karolyi–Longstaff–Sanders and Vasicek Models," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1902-1921, September.
    6. Andrei Cozma & Christoph Reisinger, 2017. "Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process," Papers 1704.07321, arXiv.org, revised Oct 2018.
    7. Ngo, Hoang Long & Luong, Duc Trong, 2019. "Tamed Euler–Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 133-140.
    8. C'onall Kelly & Gabriel J. Lord, 2021. "An adaptive splitting method for the Cox-Ingersoll-Ross process," Papers 2112.09465, arXiv.org, revised Feb 2023.

  11. Fatma Haba & Antoine Jacquier, 2013. "Asymptotic arbitrage in the Heston model," Papers 1302.6491, arXiv.org, revised Apr 2014.

    Cited by:

    1. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.

  12. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.

    Cited by:

    1. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
    2. Cyril Grunspan & Joris Van Der Hoeven, 2020. "Effective Asymptotics Analysis For Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-23, March.
    3. Michael R. Tehranchi, 2020. "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, vol. 24(1), pages 1-38, January.
    4. Cyril Grunspan & Joris van der Hoeven, 2020. "Effective asymptotic analysis for finance," Post-Print hal-01573621, HAL.
    5. Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
    6. Vimal Raval & Antoine Jacquier, 2021. "The Log Moment formula for implied volatility," Papers 2101.08145, arXiv.org.
    7. Jaehyuk Choi & Jeonggyu Huh & Nan Su, 2023. "Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding," Papers 2302.08758, arXiv.org, revised Oct 2024.
    8. Claude Martini & Arianna Mingone, 2020. "No arbitrage SVI," Papers 2005.03340, arXiv.org, revised May 2021.

  13. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
    3. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    4. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    5. Archil Gulisashvili, 2014. "Distance to the line in the Heston model," Papers 1409.6027, arXiv.org.
    6. M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
    7. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
    8. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
    9. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    10. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.

  14. Antoine Jacquier & Matthew Lorig, 2012. "The Smile of certain L\'evy-type Models," Papers 1207.1630, arXiv.org, revised Apr 2013.

    Cited by:

    1. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
    2. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
    3. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
    4. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314, arXiv.org, revised Nov 2014.
    5. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
    6. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
    7. Peter Carr & Roger Lee & Matthew Lorig, 2017. "Pricing Variance Swaps on Time-Changed Markov Processes," Papers 1705.01069, arXiv.org, revised Nov 2019.

  15. Jim Gatheral & Antoine Jacquier, 2012. "Arbitrage-free SVI volatility surfaces," Papers 1204.0646, arXiv.org, revised Mar 2013.

    Cited by:

    1. Andrew Papanicolaou, 2021. "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers 2101.00299, arXiv.org, revised Mar 2021.
    2. Niu, Jing & Ma, Chao & Wang, Yunpeng & Chang, Chun-Ping & Wang, Haijie, 2022. "The pricing of China stock index options based on monetary policy uncertainty," Journal of Asian Economics, Elsevier, vol. 81(C).
    3. Orcan Ogetbil & Bernhard Hientzsch, 2020. "Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility," Papers 2005.05530, arXiv.org, revised Feb 2023.
    4. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    5. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
    6. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
    7. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    8. Claude Martini & Arianna Mingone, 2021. "Explicit no arbitrage domain for sub-SVIs via reparametrization," Papers 2106.02418, arXiv.org.
    9. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Papers 2207.02989, arXiv.org.
    10. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    11. Gaetano La Bua & Daniele Marazzina, 2022. "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 209-239, June.
    12. Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron, 2023. "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs," Papers 2303.00859, arXiv.org, revised Dec 2023.
    13. Lukas Gonon & Antoine Jacquier & Ruben Wiedemann, 2024. "Operator Deep Smoothing for Implied Volatility," Papers 2406.11520, arXiv.org, revised Oct 2024.
    14. Won Joong Kim & Gunho Jung & Sun-Yong Choi, 2020. "Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning," Complexity, Hindawi, vol. 2020, pages 1-23, July.
    15. Chun Yat Yeung & Ali Hirsa, 2022. "Saddle-Point Approach to Large-Time Volatility Smile," Papers 2212.05671, arXiv.org.
    16. Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019. "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 819-834.
    17. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    18. Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
    19. Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110774, University Library of Munich, Germany.
    20. Benjamin Virrion, 2020. "Deep Importance Sampling," Working Papers hal-02887331, HAL.
    21. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
    22. Vinicius Albani & Uri M. Ascher & Jorge P. Zubelli, 2016. "Local Volatility Models in Commodity Markets and Online Calibration," Papers 1602.04372, arXiv.org.
    23. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
    24. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
    25. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
    26. U Hou Lok & Yuh‐Dauh Lyuu, 2020. "Efficient trinomial trees for local‐volatility models in pricing double‐barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 556-574, April.
    27. Amine Assouel & Antoine Jacquier & Alexei Kondratyev, 2021. "A Quantum Generative Adversarial Network for distributions," Papers 2110.02742, arXiv.org.
    28. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
    29. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
    30. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2017. "On VIX Futures in the rough Bergomi model," Papers 1701.04260, arXiv.org.
    31. Benjamin Virrion, 2020. "Deep Importance Sampling," Papers 2007.02692, arXiv.org, revised Jul 2020.
    32. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2019. "Extreme-strike asymptotics for general Gaussian stochastic volatility models," Annals of Finance, Springer, vol. 15(1), pages 59-101, March.
    33. Michael R. Tehranchi, 2020. "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, vol. 24(1), pages 1-38, January.
    34. Arianna Mingone, 2022. "No arbitrage global parametrization for the eSSVI volatility surface," Papers 2204.00312, arXiv.org.
    35. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    36. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    37. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
    38. Claude Martini & Iacopo Raffaelli, 2021. "Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales," Papers 2105.06390, arXiv.org.
    39. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2024. "A general framework for a joint calibration of VIX and VXX options," Annals of Operations Research, Springer, vol. 336(1), pages 3-26, May.
    40. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
    41. Arianna Mingone, 2022. "Smiles in delta," Papers 2209.00406, arXiv.org.
    42. Samuel E. Vazquez, 2014. "Option Pricing, Historical Volatility and Tail Risks," Papers 1402.1255, arXiv.org.
    43. Babak Mahdavi-Damghani & Konul Mustafayeva & Stephen Roberts & Cristin Buescu, 2018. "Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning," Papers 1812.10183, arXiv.org, revised Oct 2019.
    44. Hirbod Assa & Mostafa Pouralizadeh & Abdolrahim Badamchizadeh, 2019. "Sound Deposit Insurance Pricing Using a Machine Learning Approach," Risks, MDPI, vol. 7(2), pages 1-18, April.
    45. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Post-Print hal-03715921, HAL.
    46. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    47. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
    48. Marc Chataigner & Areski Cousin & St'ephane Cr'epey & Matthew Dixon & Djibril Gueye, 2022. "Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints," Papers 2212.09957, arXiv.org.
    49. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
    50. Pierre Cohort & Jacopo Corbetta & Claude Martini & Ismail Laachir, 2018. "Robust calibration and arbitrage-free interpolation of SSVI slices," Papers 1804.04924, arXiv.org, revised Mar 2019.
    51. Magnus Wiese & Phillip Murray, 2022. "Risk-Neutral Market Simulation," Papers 2202.13996, arXiv.org.
    52. Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019. "Deep Learning Volatility," Papers 1901.09647, arXiv.org, revised Aug 2019.
    53. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2018. "On VIX futures in the rough Bergomi model," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 45-61, January.
    54. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
    55. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
    56. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
    57. Michael R. Tehranchi, 2017. "A Black--Scholes inequality: applications and generalisation," Papers 1701.03897, arXiv.org, revised Aug 2019.
    58. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.
    59. Pierre M. Blacque-Florentin & Badr Missaoui, 2015. "Nonparametric and arbitrage-free construction of call surfaces using l1-recovery," Papers 1506.06997, arXiv.org, revised Aug 2016.
    60. Claude Martini & Arianna Mingone, 2020. "No arbitrage SVI," Papers 2005.03340, arXiv.org, revised May 2021.
    61. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
    62. Thaddeus Neururer & George Papadakis & Edward J. Riedl, 2016. "Tests of investor learning models using earnings innovations and implied volatilities," Review of Accounting Studies, Springer, vol. 21(2), pages 400-437, June.
    63. Baule, Rainer & Shkel, David, 2021. "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, vol. 133(C).
    64. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    65. Stefano De Marco & Claude Martini, 2017. "Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula," Papers 1703.00957, arXiv.org, revised May 2017.
    66. Hadrien de March & Pierre Henry-Labordere, 2019. "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers hal-02011533, HAL.
    67. José L. Vilar-Zanón & Olivia Peraita-Ezcurra, 2019. "A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 259-276, June.
    68. Anastasis Kratsios & Cody B. Hyndman, 2017. "Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization," Papers 1710.05114, arXiv.org, revised Dec 2019.
    69. Navratil, Robert & Taylor, Stephen & Vecer, Jan, 2022. "On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1215-1229.
    70. Bender Christian & Thiel Matthias, 2020. "Arbitrage-free interpolation of call option prices," Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 55-78, January.
    71. Vinicius Albani & Adriano De Cezaro & Jorge P. Zubelli, 2017. "Convex Regularization Of Local Volatility Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-37, February.
    72. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models," Papers 1502.05442, arXiv.org, revised Feb 2017.
    73. Ping Wu & Robert J. Elliott, 2017. "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, vol. 13(1), pages 1-29, February.
    74. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
    75. Jacopo Corbetta & Pierre Cohort & Ismail Laachir & Claude Martini, 2019. "Robust calibration and arbitrage-free interpolation of SSVI slices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 665-677, December.
    76. Areski Cousin & Djibril Gueye, 2021. "Kriging For Implied Volatility Surface," Working Papers hal-03274026, HAL.
    77. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.

  16. Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.

    Cited by:

    1. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    2. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    3. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
    4. Leif Andersen & Alexander Lipton, 2013. "Asymptotics For Exponential Lévy Processes And Their Volatility Smile: Survey And New Results," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1-98.
    5. Martin Forde & Andrey Pogudin, 2013. "The Large-Maturity Smile For The Sabr And Cev-Heston Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-20.
    6. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
    7. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.

  17. Antoine Jacquier & Patrick Roome, 2012. "Asymptotics of forward implied volatility," Papers 1212.0779, arXiv.org, revised Feb 2015.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
    3. Luciano Campi & Ismail Laachir & Claude Martini, 2017. "Change of numeraire in the two-marginals martingale transport problem," Finance and Stochastics, Springer, vol. 21(2), pages 471-486, April.
    4. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    5. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    6. Li, Xingyi & Zakamulin, Valeriy, 2020. "The term structure of volatility predictability," International Journal of Forecasting, Elsevier, vol. 36(2), pages 723-737.
    7. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
    8. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    9. Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017. "The implied volatility of forward starting options: ATM short-time level, skew and curvature," Economics Working Papers 1568, Department of Economics and Business, Universitat Pompeu Fabra.
    10. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
    11. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
    12. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.

  18. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.

    Cited by:

    1. Claude Martini & Arianna Mingone, 2021. "Explicit no arbitrage domain for sub-SVIs via reparametrization," Papers 2106.02418, arXiv.org.
    2. Lukas Gonon & Antoine Jacquier & Ruben Wiedemann, 2024. "Operator Deep Smoothing for Implied Volatility," Papers 2406.11520, arXiv.org, revised Oct 2024.
    3. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
    4. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
    5. Amine Assouel & Antoine Jacquier & Alexei Kondratyev, 2021. "A Quantum Generative Adversarial Network for distributions," Papers 2110.02742, arXiv.org.
    6. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    7. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
    8. Claude Martini & Arianna Mingone, 2020. "No arbitrage SVI," Papers 2005.03340, arXiv.org, revised May 2021.
    9. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    10. Sylvain Corlay, 2013. "B-spline techniques for volatility modeling," Papers 1306.0995, arXiv.org, revised Jun 2015.
    11. Wolfgang Schadner & Joshua Traut, 2022. "Estimating Forward-Looking Stock Correlations from Risk Factors," Mathematics, MDPI, vol. 10(10), pages 1-19, May.

  19. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Stefano Pagliarani & Andrea Pascucci, 2017. "The exact Taylor formula of the implied volatility," Finance and Stochastics, Springer, vol. 21(3), pages 661-718, July.
    3. Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 2018.
    4. John Armstrong & Martin Forde & Matthew Lorig & Hongzhong Zhang, 2013. "Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion," Papers 1312.2281, arXiv.org, revised Sep 2016.
    5. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    6. Archil Gulisashvili, 2014. "Distance to the line in the Heston model," Papers 1409.6027, arXiv.org.
    7. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
    8. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
    9. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    10. Stefano De Marco & Peter Friz, 2013. "Varadhan's formula, conditioned diffusions, and local volatilities," Papers 1311.1545, arXiv.org, revised Jun 2016.
    11. Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
    12. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2014. "Asymptotics for $d$-dimensional L\'evy-type processes," Papers 1404.3153, arXiv.org, revised Nov 2014.
    13. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
    14. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models," Papers 1502.05442, arXiv.org, revised Feb 2017.
    15. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    16. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.

  20. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011. "A note on essential smoothness in the Heston model," Papers 1107.4881, arXiv.org.

    Cited by:

    1. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.

  21. Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011. "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers 1108.3998, arXiv.org.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    3. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    4. Francesco Caravenna & Jacopo Corbetta, 2014. "General smile asymptotics with bounded maturity," Papers 1411.1624, arXiv.org, revised Jul 2016.
    5. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    6. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    7. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
    8. Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.
    9. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
    10. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.

  22. Jim Gatheral & Antoine Jacquier, 2010. "Convergence of Heston to SVI," Papers 1002.3633, arXiv.org.

    Cited by:

    1. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    2. Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
    3. Claude Martini & Arianna Mingone, 2021. "Explicit no arbitrage domain for sub-SVIs via reparametrization," Papers 2106.02418, arXiv.org.
    4. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Papers 2207.02989, arXiv.org.
    5. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    6. Florence Guillaume & Wim Schoutens, 2014. "Heston Model: The Variance Swap Calibration," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 76-89, April.
    7. Chun Yat Yeung & Ali Hirsa, 2022. "Saddle-Point Approach to Large-Time Volatility Smile," Papers 2212.05671, arXiv.org.
    8. Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
    9. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
    10. Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
    11. Martin Forde & Andrey Pogudin, 2013. "The Large-Maturity Smile For The Sabr And Cev-Heston Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-20.
    12. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    13. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Post-Print hal-03715921, HAL.
    14. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    15. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
    16. Jim Gatheral & Antoine Jacquier, 2012. "Arbitrage-free SVI volatility surfaces," Papers 1204.0646, arXiv.org, revised Mar 2013.
    17. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.
    18. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
    19. Hadrien de March & Pierre Henry-Labordere, 2019. "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers hal-02011533, HAL.
    20. Elisa Alòs & Rafael De Santiago & Josep Vives, 2015. "Calibration Of Stochastic Volatility Models Via Second-Order Approximation: The Heston Case," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-31.
    21. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
    22. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
    23. Tahar Ferhati, 2020. "Robust Calibration For SVI Model Arbitrage Free," Working Papers hal-02490029, HAL.
    24. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
    25. Tahar Ferhati, 2020. "SVI Model Free Wings," Working Papers hal-02517572, HAL.
    26. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2013. "Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]," Papers 1305.6765, arXiv.org.
    27. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.

  23. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992, arXiv.org, revised May 2010.

    Cited by:

    1. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    2. Archil Gulisashvili & Peter Laurence, 2013. "The Heston Riemannian distance function," Papers 1302.2337, arXiv.org.
    3. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    5. Florence Guillaume & Wim Schoutens, 2014. "Heston Model: The Variance Swap Calibration," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 76-89, April.
    6. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    7. P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm, 2010. "On refined volatility smile expansion in the Heston model," Papers 1001.3003, arXiv.org, revised Nov 2010.
    8. Jim Gatheral & Antoine Jacquier, 2011. "Convergence of Heston to SVI," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
    9. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
    10. S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
    11. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
    12. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    13. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
    14. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    15. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    16. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
    17. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.
    18. Yan, Shuang & Gu, Changgui & Yang, Huijie, 2024. "Bridge successive states for a complex system with evolutionary matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
    19. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.

  24. Antoine Jacquier & Saad Slaoui, 2007. "Variance Dispersion and Correlation Swaps," Birkbeck Working Papers in Economics and Finance 0712, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.
    2. Xu, Yuhong, 2022. "Optimal growth under model uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    3. Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
    4. Yuhong Xu, 2014. "Robust valuation and risk measurement under model uncertainty," Papers 1407.8024, arXiv.org.
    5. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2022. "Static replication of European standard dispersion options," Quantitative Finance, Taylor & Francis Journals, vol. 22(5), pages 799-811, May.

Articles

  1. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
    See citations under working paper version above.
  2. Fatma Haba & Antoine Jacquier, 2015. "Asymptotic Arbitrage In The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-18, December.
    See citations under working paper version above.
  3. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    See citations under working paper version above.
  4. Jim Gatheral & Antoine Jacquier, 2014. "Arbitrage-free SVI volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 59-71, January.
    See citations under working paper version above.
  5. Martin Forde & Antoine Jacquier & Aleksandar Mijatović, 2011. "A note on essential smoothness in the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 781-784, December.
    See citations under working paper version above.
  6. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    3. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    5. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    6. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
    7. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
    8. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
    9. Eduardo Abi Jaber & Nathan De Carvalho, 2023. "Reconciling rough volatility with jumps," Papers 2303.07222, arXiv.org, revised Sep 2024.
    10. Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
    11. Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011. "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers 1108.3998, arXiv.org.
    12. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    13. Antoine Jacquier & Konstantinos Spiliopoulos, 2018. "Pathwise moderate deviations for option pricing," Papers 1803.04483, arXiv.org, revised Dec 2018.
    14. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    15. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
    16. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    17. Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin, 2020. "Asymptotic Smiles for an Affine Jump-Diffusion Model," Papers 2003.00334, arXiv.org, revised May 2020.
    18. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
    19. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
    20. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
    21. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.

  7. Jim Gatheral & Antoine Jacquier, 2011. "Convergence of Heston to SVI," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
    See citations under working paper version above.
  8. Martin Forde & Antoine Jacquier, 2011. "Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 517-535, April.

    Cited by:

    1. Archil Gulisashvili & Peter Laurence, 2013. "The Heston Riemannian distance function," Papers 1302.2337, arXiv.org.
    2. Cyril Grunspan & Joris Van Der Hoeven, 2020. "Effective Asymptotics Analysis For Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-23, March.
    3. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
    4. Cyril Grunspan & Joris van der Hoeven, 2020. "Effective asymptotic analysis for finance," Post-Print hal-01573621, HAL.
    5. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    6. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    7. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
    8. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
    9. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
    10. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
    11. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    12. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
    13. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.

  9. Martin Forde & Antoine Jacquier, 2010. "Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 241-259.

    Cited by:

    1. Adrian Prayoga & Nicolas Privault, 2017. "Pricing CIR Yield Options by Conditional Moment Matching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 19-38, March.
    2. Li, Minqiang, 2014. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper 54595, University Library of Munich, Germany.
    3. Lin, Sha & He, Xin-Jiang, 2020. "Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    4. Pagliarani, S. & Pascucci, A. & Pignotti, M., 2017. "Intrinsic expansions for averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2560-2585.
    5. Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
    6. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
    7. Alexander M. G. Cox & Sigrid Kallblad, 2015. "Model-independent bounds for Asian options: a dynamic programming approach," Papers 1507.02651, arXiv.org, revised Jul 2016.
    8. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
    9. Alexander Novikov & Scott Alexander & Nino Kordzakhia & Timothy Ling, 2016. "Pricing of Asian-type and Basket Options via Upper and Lower Bounds," Papers 1612.08767, arXiv.org.

  10. Martin Forde & Antoine Jacquier, 2009. "Small-Time Asymptotics For Implied Volatility Under The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 861-876.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Archil Gulisashvili & Peter Laurence, 2013. "The Heston Riemannian distance function," Papers 1302.2337, arXiv.org.
    3. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
    5. Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov, 2012. "Small time central limit theorems for semimartingales with applications," Papers 1208.4282, arXiv.org.
    6. Ronnie Sircar & Stephan Sturm, 2011. "From Smile Asymptotics to Market Risk Measures," Papers 1107.4632, arXiv.org, revised Jul 2012.
    7. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    8. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
    9. Archil Gulisashvili, 2014. "Distance to the line in the Heston model," Papers 1409.6027, arXiv.org.
    10. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
    11. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
    12. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
    13. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
    14. Yasaman Karami & Kenichiro Shiraya, 2018. "An approximation formula for normal implied volatility under general local stochastic volatility models," CARF F-Series CARF-F-427, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    15. Baron Law, 2021. "Correlation Estimation in Hybrid Systems," Papers 2111.06042, arXiv.org, revised Jul 2023.
    16. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    17. Stefan Gerhold, 2012. "Can there be an explicit formula for implied volatility?," Papers 1211.4978, arXiv.org.
    18. Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
    19. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    20. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
    21. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    22. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
    23. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity asymptotics for option prices with interest rates effects," Papers 2402.14161, arXiv.org.
    24. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
    25. Antoine Jacquier & Fangwei Shi, 2018. "Small-time moderate deviations for the randomised Heston model," Papers 1808.03548, arXiv.org.
    26. Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
    27. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models," Papers 2407.16813, arXiv.org.
    28. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
    29. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
    30. Archil Gulisashvili, 2018. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Papers 1808.00421, arXiv.org, revised Jun 2019.
    31. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    32. Antoine Jacquier & Mikko S. Pakkanen & Henry Stone, 2017. "Pathwise large deviations for the Rough Bergomi model," Papers 1706.05291, arXiv.org, revised Dec 2018.
    33. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Apr 2024.
    34. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
    35. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
    36. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
    37. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    38. Gulisashvili, Archil, 2020. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3648-3686.
    39. Figueroa-López, José E. & Gong, Ruoting & Houdré, Christian, 2012. "Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1808-1839.

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