| Large and moderate deviations for stochastic Volterra systems A Jacquier, A Pannier Stochastic Processes and their Applications 149, 142-187, 2022 | 35 | 2022 |
| Rough multifactor volatility for SPX and VIX options A Jacquier, A Muguruza, A Pannier arXiv preprint arXiv:2112.14310, 2021 | 13 | 2021 |
| Rough volatility, path-dependent PDEs and weak rates of convergence O Bonesini, A Jacquier, A Pannier arXiv preprint arXiv:2304.03042, 2023 | 11 | 2023 |
| Analytical approximation to the multidimensional Fokker--Planck equation with steady state R Martin, R Craster, A Pannier, MJ Kearney Journal of Physics A: Mathematical and Theoretical 52, 2019 | 5 | 2019 |
| A path-dependent PDE solver based on signature kernels A Pannier, C Salvi arXiv preprint arXiv:2403.11738, 2024 | 2 | 2024 |
| Path-dependent PDEs for volatility derivatives A Pannier arXiv preprint arXiv:2311.08289, 2023 | 1 | 2023 |
| Pathwise large deviations for white noise chaos expansions A Pannier Bernoulli 28 (3), 1961-1985, 2022 | 1 | 2022 |
| On the large-time behaviour of affine Volterra processes A Jacquier, A Pannier, K Spiliopoulos arXiv preprint arXiv:2204.05270, 2022 | | 2022 |
| Limit theorems for non-Markovian and fractional processes A Pannier Imperial College London, 2022 | | 2022 |
Antoine JacquierImperial College LondonVerified email at imperial.ac.uk
