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
- Quantum Computing for Finance, MSc in Mathematics and Finance
- Volatility modelling, MSc in Mathematics and Finance
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.
Bonesini O, Callegaro G, Jacquier A, 2023, Functional quantization of rough volatility and applications to the VIX, Quantitative Finance, ISSN:1469-7688
Raval V, Jacquier A, 2023, The log-moment formula for implied volatility, Mathematical Finance, Vol:33, ISSN:0960-1627, Pages:1146-1165
et al., 2023, Functional central limit theorems for rough volatility, Finance and Stochastics, ISSN:0949-2984
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
Assouel A, Jacquier A, Kondratyev A, 2022, A quantum generative adversarial network for distributions, Quantum Machine Intelligence, Vol:4, ISSN:2524-4906