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ORCIDMartin Forde
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Journal Articles
- 2017
[j9]John Armstrong
, Martin Forde, Matthew Lorig, Hongzhong Zhang:
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion. SIAM J. Financial Math. 8(1): 82-113 (2017)- [j8]Martin Forde, Hongzhong Zhang:
Asymptotics for Rough Stochastic Volatility Models. SIAM J. Financial Math. 8(1): 114-145 (2017) - 2016
- [j7]Martin Forde, Hongzhong Zhang:
Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and the Hyperbolic Heat Kernel on ℍ3. SIAM J. Financial Math. 7(1): 448-476 (2016) - 2013
- [j6]Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic:
Correction note for 'The large-maturity smile for the Heston model'. Finance Stochastics 17(1): 223-224 (2013) - 2012
- [j5]José E. Figueroa-López, Martin Forde:
The Small-Maturity Smile for Exponential Lévy Models. SIAM J. Financial Math. 3(1): 33-65 (2012) - [j4]Martin Forde, Antoine Jacquier, Roger Lee:
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model. SIAM J. Financial Math. 3(1): 690-708 (2012) - 2011
- [j3]Martin Forde, Antoine Jacquier:
The large-maturity smile for the Heston model. Finance Stochastics 15(4): 755-780 (2011) - [j2]Martin Forde, Antoine Jacquier, Aleksandar Mijatovic:
A note on essential smoothness in the Heston model. Finance Stochastics 15(4): 781-784 (2011) - 2010
- [j1]Jin Feng, Martin Forde, Jean-Pierre Fouque:
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM J. Financial Math. 1(1): 126-141 (2010)
Coauthor Index
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