Martin Forde

Identifiers

• name variant Martin Forde 0.60 · backfill

Papers (8)

1. Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ q-fin.PR · 2016 · author #1
2. Large deviations for the boundary local time of doubly reflected Brownian Motion math.PR · 2014 · author #1
3. Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion q-fin.PR · 2013 · author #2
4. A note on essential smoothness in the Heston model q-fin.PR · 2011 · author #1
5. The small-maturity smile for exponential Levy models q-fin.PR · 2011 · author #2
6. Asymptotic formulae for implied volatility in the Heston model q-fin.PR · 2009 · author #1
7. The small-time behaviour of diffusion and time-changed diffusion processes on the line math.PR · 2006 · author #1
8. Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models math.PR · 2006 · author #1

Mentions

• 1409.1972 #1 · backfill · confidence 0.70 Martin Forde
• 1312.2281 #2 · backfill · confidence 0.70 Martin Forde
• 1107.4881 #1 · backfill · confidence 0.70 Martin Forde
• 1105.3180 #2 · backfill · confidence 0.70 Martin Forde
• 0911.2992 #1 · backfill · confidence 0.70 Martin Forde

Frequent Coauthors

• Hongzhong Zhang 3 shared papers
• Aleksandar Mijatovic 2 shared papers
• Antoine Jacquier 2 shared papers
• John Armstrong 1 shared papers
• Jose E. Figueroa-Lopez 1 shared papers
• Matthew Lorig 1 shared papers
• Rohini Kumar 1 shared papers