Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Senior Lecturer



+44 (0)20 7594 8569a.jacquier Website




804Weeks BuildingSouth Kensington Campus





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



Commercial activity

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

Badikov S, Davis MHA, Jacquier A, Perturbation analysis of sub/super hedging problems

Guennoun H, Jacquier A, Roome P, et al., Asymptotic behaviour of the fractional Heston model, Siam Journal on Financial Mathematics, ISSN:1945-497X

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

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