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Publications by Antoine Jacquier

The Randomized Heston Model

SIAM Journal on Financial Mathematics

Applied Mathematics

Numerical Analysis

English

Generalized Arbitrage-Free SVI Volatility Surfaces

SIAM Journal on Financial Mathematics

Applied Mathematics

Numerical Analysis

English

Related publications

Asymptotic Arbitrage in the Heston Model

International Journal of Theoretical and Applied Finance

English

Gamma Expansion of the Heston Stochastic Volatility Model

SSRN Electronic Journal

English

Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal

English

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance

English

Use a Reduced Heston or Reduce the Use of Heston?

Wilmott Journal

English

Optimal Dynamic Mean-Variance Asset-Liability Management Under the Heston Model

Advances in Difference Equations

Applied Mathematics

English

The Affine Heston Model With Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Quantitative Finance

English

A Lie Algebraic and Numerical Investigation of the Black-Scholes Equation With Heston Volatility Model

Journal of Generalized Lie Theory and Applications

English

Charlton Heston Is God

The Iowa Review

English