Zobrazeno 1 - 10
of 194
pro vyhledávání: '"Antoine Jacquier"'
Autor:
Vaidya, Tushar1 (AUTHOR)
Publikováno v:
Quantitative Finance. Aug2024, Vol. 24 Issue 8, p1035-1036. 2p.
Autor:
Vimal Raval, Antoine Jacquier
Publikováno v:
Mathematical Finance.
Autor:
Antoine Jacquier, Zan Zuric
We construct a deep learning-based numerical algorithm to solve path-dependent partial differential equations arising in the context of rough volatility. Our approach is based on interpreting the PDE as a solution to an SPDE, building upon recent ins
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aad750b06856171e8d94bd8f9fce750d
http://arxiv.org/abs/2305.01035
http://arxiv.org/abs/2305.01035
Publikováno v:
SIAM Journal on Financial Mathematics. 12:SC98-SC114
We propose a hybrid quantum-classical algorithm, which originated from quantum chemistry, to price European and Asian options in the Black--Scholes model. Our approach is based on the equivalence b...
Autor:
Alexandre Pannier, Antoine Jacquier
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based on the weak
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9b3ae97ae657ff41a5beaaf05ce42a55
http://hdl.handle.net/10044/1/96704
http://hdl.handle.net/10044/1/96704
Autor:
Fangwei Shi, Antoine Jacquier
Publikováno v:
Journal of Applied Probability. 57:19-28
We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.
Comment: 8 pages
Comment: 8 pages
Publikováno v:
Mathematical Finance. 30:426-463
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to transfer these results into small‐time, large‐time, and tai
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new dependency matrix,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33e36b076bfff30f43f0f8815267b47f
http://arxiv.org/abs/2111.12658
http://arxiv.org/abs/2111.12658
Publikováno v:
Journal of Applied Probability. 56:496-523
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail behaviours in p
Autor:
Antoine Jacquier, Fangwei Shi
Publikováno v:
SIAM Journal on Financial Mathematics. 10:89-129
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small- and large-time