Dr Antoine Jacquier is a Senior Lecturer in the Department of Mathematics at Imperial College London.
His research interests are in Probability and Mathematical Finance. He is particularly interested in large deviations methods and asymptotic expansions for stochastic processes, and their applications to volatility modelling.
His personal webpage can be found at www2.imperial.ac.uk/~ajacquie/
- Numerical Methods in Finance, MSc in Mathematics and Finance.
- Advanced Methods in Derivatives Pricing, MSc in Mathematics and Finance.
From September 2006 to September 2010, Dr Antoine Jacquier has been acting as a quantitative consultant for Zeliade Systems, Paris. The main areas of research were the calibration of stochastic volatility models and the pricing of volatility derivatives.
Alos E, Jacquier A, Leon J, The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Gulisashvili A, Horvath B, Jacquier A, Mass at zero in the uncorrelated SABR model and implied volatility asymptotics, Quantitative Finance, ISSN:1469-7688
Horvath B, Jacquier A, Lacombe C, Asymptotic behaviour of randomised fractional volatility models
Horvath B, Jacquier A, Muguruza A, Functional central limit theorems for rough volatility
Horvath B, Jacquier A, Tankov P, Volatility options in rough volatility models