Summary
I am a Professor of Mathematics in the Mathematical Finance section in the Department of Mathematics at Imperial College London.
My research interests range from Probability and Stochastic analysis to Numerical Analysis and Quantum Computing, with a view towards applications in Mathematical Finance.
My personal webpage, with more details about my research and my activities, can be found at
https://jackantoinejacquie.wixsite.com/jacquier
Teaching
- Quantum Computing for Finance, MSc in Mathematics and Finance
- Volatility modelling, MSc in Mathematics and Finance
Commercial activity
Prof. Jacquier is a senior quantitative consultant and advisor for several companies in quantum technologies and in the banking industry.
My key areas of expertise are in volatility modelling and quantum computing in Finance.
Publications
Journals
Raval V, Jacquier A, 2023, The log-moment formula for implied volatility, Mathematical Finance, Vol:33, ISSN:0960-1627, Pages:1146-1165
Jacquier A, Andreas S, Blanka H, et al., 2023, Functional central limit theorems for rough volatility, Finance and Stochastics, ISSN:0949-2984
Bonesini O, Callegaro G, Jacquier A, 2023, Functional quantization of rough volatility and applications to volatility derivatives, Quantitative Finance, Vol:23, ISSN:1469-7688, Pages:1769-1792
Bonesini O, Callegaro G, Jacquier A, 2023, Functional quantization of rough volatility and applications to volatility derivatives, Quantitative Finance, Vol:23, ISSN:1469-7688, Pages:1769-1792
Jacquier A, Oumgari M, 2023, Deep Curve-Dependent PDEs for Affine Rough Volatility, Siam Journal on Financial Mathematics, Vol:14, ISSN:1945-497X, Pages:353-382