Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Senior Lecturer



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




6M12Huxley 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.



Chassagneux JFC, Jacquier A, Mihyalov IM, An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs, Siam Journal on Financial Mathematics, ISSN:1945-497X

De Marco SDM, Hillairet CH, Jacquier A, Shapes of implied volatility with positive mass at zero, Siam Journal on Financial Mathematics, ISSN:1945-497X

Horvath B, Jacquier A, Lacombe C, Asymptotic behaviour of randomised fractional volatility models

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

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