Imperial College London

DrAntoineJacquier

Faculty of Natural SciencesDepartment of Mathematics

Senior Lecturer
 
 
 
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Contact

 

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

 
 
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Location

 

6M12Huxley BuildingSouth Kensington Campus

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Summary

 

Summary

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/

 

Teaching

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.

Publications

Journals

Alos E, Jacquier A, Leon J, The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

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

Jacquier A, Jeannerod L, How many paths to simulate correlated Brownian motions?

More Publications