Martin Forde

Publication Activity (10 Years)

Years Active: 2010-2017
Publications (10 Years): 3

Top Topics

Laplace Beltrami

Stochastic Models

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

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) (2017)
Martin Forde, Hongzhong Zhang
Asymptotics for Rough Stochastic Volatility Models. SIAM J. Financial Math. 8 (1) (2017)
Martin Forde, Hongzhong Zhang
. SIAM J. Financial Math. 7 (1) (2016)
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) (2013)
José E. Figueroa-López, Martin Forde
The Small-Maturity Smile for Exponential Lévy Models. SIAM J. Financial Math. 3 (1) (2012)
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) (2012)
Martin Forde, Antoine Jacquier, Aleksandar Mijatovic
A note on essential smoothness in the Heston model. Finance Stochastics 15 (4) (2011)
Martin Forde, Antoine Jacquier
The large-maturity smile for the Heston model. Finance Stochastics 15 (4) (2011)
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) (2010)