Martin Forde

According to our database, Martin Forde authored at least 9 papers between 2010 and 2017.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2017

Asymptotics for Rough Stochastic Volatility Models.

Martin Forde, Hongzhong Zhang

SIAM J. Financial Math., 2017

Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion.

John Armstrong, Martin Forde, Matthew Lorig, Hongzhong Zhang

SIAM J. Financial Math., 2017

2016

Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and the Hyperbolic Heat Kernel on ℍ³.

Martin Forde, Hongzhong Zhang

SIAM J. Financial Math., 2016

2013

Correction note for 'The large-maturity smile for the Heston model'.

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic

Finance Stochastics, 2013

2012

The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model.

Martin Forde, Antoine Jacquier, Roger Lee

SIAM J. Financial Math., 2012

The Small-Maturity Smile for Exponential Lévy Models.

José E. Figueroa-López, Martin Forde

SIAM J. Financial Math., 2012

2011

A note on essential smoothness in the Heston model.

Martin Forde, Antoine Jacquier, Aleksandar Mijatovic

Finance Stochastics, 2011

The large-maturity smile for the Heston model.

Martin Forde, Antoine Jacquier

Finance Stochastics, 2011

2010

Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model.

Jin Feng, Martin Forde, Jean-Pierre Fouque

SIAM J. Financial Math., 2010