Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Forde, Martin; Gerhold, Stefan; Smith, Benjamin Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. (English) Zbl 1522.91243 Math. Finance 31, No. 1, 203-241 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G20 91B70 60G60 PDFBibTeX XMLCite \textit{M. Forde} et al., Math. Finance 31, No. 1, 203--241 (2021; Zbl 1522.91243) Full Text: DOI arXiv
Forde, Martin; Zhang, Hongzhong Asymptotics for rough stochastic volatility models. (English) Zbl 1422.91693 SIAM J. Financ. Math. 8, 114-145 (2017). MSC: 91G20 60F10 60G22 60H99 PDFBibTeX XMLCite \textit{M. Forde} and \textit{H. Zhang}, SIAM J. Financ. Math. 8, 114--145 (2017; Zbl 1422.91693) Full Text: DOI arXiv
Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, Hongzhong Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion. (English) Zbl 1356.91086 SIAM J. Financ. Math. 8, 82-113 (2017). MSC: 91G20 91B70 60F10 60J60 58J65 58J35 PDFBibTeX XMLCite \textit{J. Armstrong} et al., SIAM J. Financ. Math. 8, 82--113 (2017; Zbl 1356.91086) Full Text: DOI arXiv
Forde, Martin; Kumar, Rohini Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps. (English) Zbl 1357.91047 Ann. Appl. Probab. 26, No. 6, 3699-3726 (2016). MSC: 91G20 60F10 60H30 60J60 60J25 60G51 91G60 65C05 PDFBibTeX XMLCite \textit{M. Forde} and \textit{R. Kumar}, Ann. Appl. Probab. 26, No. 6, 3699--3726 (2016; Zbl 1357.91047) Full Text: DOI Euclid
Forde, Martin; Zhang, Hongzhong Small-time asymptotics for basket options – the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\). (English) Zbl 1345.60031 SIAM J. Financ. Math. 7, 448-476 (2016). MSC: 60F99 60F10 60J60 60J35 91G80 PDFBibTeX XMLCite \textit{M. Forde} and \textit{H. Zhang}, SIAM J. Financ. Math. 7, 448--476 (2016; Zbl 1345.60031) Full Text: DOI arXiv
Forde, Martin; Jacquier, Antoine; Lee, Roger The small-time smile and term structure of implied volatility under the Heston model. (English) Zbl 1273.91461 SIAM J. Financ. Math. 3, 690-708 (2012). Reviewer: Eliane R. Rodrigues (México D. F.) MSC: 91G80 91G20 65C50 PDFBibTeX XMLCite \textit{M. Forde} et al., SIAM J. Financ. Math. 3, 690--708 (2012; Zbl 1273.91461) Full Text: DOI Link
Figueroa-López, José E.; Forde, Martin The small-maturity smile for exponential Lévy models. (English) Zbl 1257.91046 SIAM J. Financ. Math. 3, 33-65 (2012). MSC: 91G20 91G60 60G51 60F99 PDFBibTeX XMLCite \textit{J. E. Figueroa-López} and \textit{M. Forde}, SIAM J. Financ. Math. 3, 33--65 (2012; Zbl 1257.91046) Full Text: DOI arXiv
Forde, Martin; Jacquier, Antoine The large-maturity smile for the Heston model. (English) Zbl 1303.91174 Finance Stoch. 15, No. 4, 755-780 (2011); corrigendum ibid. 15, No. 4, 781-784 (2011); corrigendum ibid. 17, No. 1, 223-224 (2013). MSC: 91G20 91B70 60H30 60F10 60G44 PDFBibTeX XMLCite \textit{M. Forde} and \textit{A. Jacquier}, Finance Stoch. 15, No. 4, 755--780 (2011; Zbl 1303.91174) Full Text: DOI Link
Forde, Martin; Jacquier, Antoine Small-time asymptotics for an uncorrelated local-stochastic volatility model. (English) Zbl 1246.91129 Appl. Math. Finance 18, No. 5-6, 517-535 (2011). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G80 60H15 PDFBibTeX XMLCite \textit{M. Forde} and \textit{A. Jacquier}, Appl. Math. Finance 18, No. 5--6, 517--535 (2011; Zbl 1246.91129) Full Text: DOI
Forde, Martin Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional. (English) Zbl 1220.91039 Int. J. Theor. Appl. Finance 14, No. 4, 559-578 (2011). MSC: 91G30 60J70 91G20 PDFBibTeX XMLCite \textit{M. Forde}, Int. J. Theor. Appl. Finance 14, No. 4, 559--578 (2011; Zbl 1220.91039) Full Text: DOI
Forde, Martin Large-time asymptotics for an uncorrelated stochastic volatility model. (English) Zbl 1225.60052 Stat. Probab. Lett. 81, No. 8, 1230-1232 (2011). MSC: 60F10 91G80 PDFBibTeX XMLCite \textit{M. Forde}, Stat. Probab. Lett. 81, No. 8, 1230--1232 (2011; Zbl 1225.60052) Full Text: DOI HAL
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar Asymptotic formulae for implied volatility in the Heston model. (English) Zbl 1211.91253 Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 466, No. 2124, 3593-3620 (2010). MSC: 91G70 91B70 60H30 PDFBibTeX XMLCite \textit{M. Forde} et al., Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 466, No. 2124, 3593--3620 (2010; Zbl 1211.91253) Full Text: DOI arXiv
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. (English) Zbl 1203.91321 SIAM J. Financ. Math. 1, 126-141 (2010). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91G80 60F10 91G20 PDFBibTeX XMLCite \textit{J. Feng} et al., SIAM J. Financ. Math. 1, 126--141 (2010; Zbl 1203.91321) Full Text: DOI Link
Forde, Martin; Jacquier, Antoine Small-time asymptotics for implied volatility under the Heston model. (English) Zbl 1203.91290 Int. J. Theor. Appl. Finance 12, No. 6, 861-876 (2009). MSC: 91G20 91G70 60F10 60H30 PDFBibTeX XMLCite \textit{M. Forde} and \textit{A. Jacquier}, Int. J. Theor. Appl. Finance 12, No. 6, 861--876 (2009; Zbl 1203.91290) Full Text: DOI