| Arbitrage-free SVI volatility surfaces J Gatheral, A Jacquier Quantitative Finance 14 (1), 59-71, 2014 | 281 | 2014 |
| Small-time asymptotics for implied volatility under the Heston model M Forde, A Jacquier International Journal of Theoretical and Applied Finance 12 (06), 861-876, 2009 | 141 | 2009 |
| The small-time smile and term structure of implied volatility under the Heston model M Forde, A Jacquier, R Lee SIAM Journal on Financial Mathematics 3 (1), 690-708, 2012 | 128 | 2012 |
| Convergence of Heston to SVI J Gatheral, A Jacquier Quantitative Finance 11 (8), 1129-1132, 2011 | 102 | 2011 |
| Asymptotic behavior of the fractional Heston model H Guennoun, A Jacquier, P Roome, F Shi SIAM Journal on Financial Mathematics 9 (3), 1017-1045, 2018 | 94 | 2018 |
| The large-maturity smile for the Heston model M Forde, A Jacquier Finance and Stochastics 15 (4), 755-780, 2011 | 85 | 2011 |
| An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients JF Chassagneux, A Jacquier, I Mihaylov SIAM Journal on Financial Mathematics 7 (1), 993-1021, 2016 | 83 | 2016 |
| Asymptotic formulae for implied volatility in the Heston model M Forde, A Jacquier, A Mijatović Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2010 | 79 | 2010 |
| Marginal density expansions for diffusions and stochastic volatility II: Applications JD Deuschel, PK Friz, A Jacquier, S Violante Communications on Pure and Applied Mathematics 67 (2), 321-350, 2014 | 77* | 2014 |
| On VIX futures in the rough Bergomi model A Jacquier, C Martini, A Muguruza Quantitative Finance 18 (1), 45-61, 2018 | 70 | 2018 |
| Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations JD Deuschel, PK Friz, A Jacquier, S Violante Communications on Pure and Applied Mathematics, 2013 | 65 | 2013 |
| Volatility options in rough volatility models B Horvath, A Jacquier, P Tankov SIAM Journal on Financial Mathematics 11 (2), 437-469, 2020 | 62 | 2020 |
| Deep PPDEs for rough local stochastic volatility A Jacquier, M Oumgari arXiv preprint arXiv:1906.02551, 2019 | 58* | 2019 |
| Functional central limit theorems for rough volatility B Horvath, A Jacquier, A Muguruza arXiv preprint arXiv:1711.03078, 2017 | 57* | 2017 |
| Small-time asymptotics for implied volatility under a general local-stochastic volatility model M Forde, A Jacquier Applied Mathematical Finance 18 (6), 517-535, 2011 | 55* | 2011 |
| Large deviations and asymptotic methods in finance PK Friz Springer, 2016 | 52 | 2016 |
| Pathwise large deviations for the Rough Bergomi model A Jacquier, MS Pakkanen, H Stone Journal of Applied Probability 55 (4), 1078-1092, 2018 | 48 | 2018 |
| Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models A Jacquier, M Keller-Ressel, A Mijatović Stochastics: An International Journal of Probability and Stochastic …, 2013 | 38 | 2013 |
| Large and moderate deviations for stochastic Volterra systems A Jacquier, A Pannier Stochastic Processes and their Applications 149, 142-187, 2022 | 35 | 2022 |
| Robust approximations for pricing Asian options and volatility swaps under stochastic volatility M Forde, A Jacquier Applied Mathematical Finance 17 (3), 241-259, 2010 | 34 | 2010 |
Martin FordeKing's College London在 kcl.ac.uk 的电子邮件经过验证
