Martin Forde

Available identifiers

zbMath Open forde.martinMaRDI QIDQ484211

List of research outcomes

Publication	Date of Publication	Type
Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options	2019-03-06	Paper
Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps	2017-02-21	Paper
Asymptotics for Rough Stochastic Volatility Models	2017-02-16	Paper
Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion	2017-02-16	Paper
Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\)	2016-08-17	Paper
Large deviations for the boundary local time of doubly reflected Brownian motion	2015-04-01	Paper
The large-maturity smile for the Heston model	2014-12-18	Paper
A note on essential smoothness in the Heston model	2014-12-18	Paper
The large-maturity smile for the Stein-Stein model	2014-06-12	Paper
The large-maturity smile for the SABR and CEV-Heston models	2014-04-25	Paper
On the Markovian projection in the Brunick-Shreve mimicking result	2014-04-17	Paper
Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory	2013-10-23	Paper
Correction note for ``The large-maturity smile for the Heston model	2013-02-07	Paper
The small-maturity smile for exponential Lévy models	2013-01-25	Paper
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model	2012-06-08	Paper
A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time	2011-11-10	Paper
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional	2011-08-10	Paper
Large-time asymptotics for an uncorrelated stochastic volatility model	2011-07-26	Paper
Asymptotic formulae for implied volatility in the Heston model	2011-05-06	Paper
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility	2010-09-21	Paper
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model	2010-06-01	Paper
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL	2009-11-27	Paper
The small-time behaviour of diffusion and time-changed diffusion processes on the line	2006-09-05	Paper
Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models	2006-08-25	Paper

Research outcomes over time

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