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; Smith, Benjamin; Viitasaari, Lauri Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime.) (English) Zbl 1477.91053 Quant. Finance 21, No. 4, 541-563 (2021); correction ibid. 21, No. 4, i (2021). MSC: 91G20 60G51 91B70 PDFBibTeX XMLCite \textit{M. Forde} et al., Quant. Finance 21, No. 4, 541--563 (2021; Zbl 1477.91053) Full Text: DOI Link
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 The large-maturity smile for the Stein-Stein model. (English) Zbl 1296.91211 Stat. Probab. Lett. 91, 145-152 (2014). MSC: 91B70 60H30 60E10 60F10 PDFBibTeX XMLCite \textit{M. Forde}, Stat. Probab. Lett. 91, 145--152 (2014; Zbl 1296.91211) Full Text: DOI
Forde, Martin On the Markovian projection in the Brunick-Shreve mimicking result. (English) Zbl 1290.60077 Stat. Probab. Lett. 85, 98-105 (2014). MSC: 60J60 60J55 60H10 PDFBibTeX XMLCite \textit{M. Forde}, Stat. Probab. Lett. 85, 98--105 (2014; Zbl 1290.60077) Full Text: DOI
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 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; 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