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~person:"Forde, Martin"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Lehrbuch"
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Forde, Martin
McAleer, Michael
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21
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20
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19
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17
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Robust approximations for pricing Asian options and
volatility
swaps under stochastic
volatility
Forde, Martin
;
Jacquier, Antoine
- In:
Applied mathematical finance
17
(
2010
)
3/4
,
pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
Saved in:
2
A note on essential smoothness in the Heston model
Forde, Martin
;
Jacquier, Antoine
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 781-784
Persistent link: https://www.econbiz.de/10009423265
Saved in:
3
The large-maturity smile for the Heston model
Forde, Martin
;
Jacquier, Antoine
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 755-780
Persistent link: https://www.econbiz.de/10009423267
Saved in:
4
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
Saved in:
5
The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin
;
Pogudin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
Saved in:
6
Small-time asymptotics for implied volitility under the Heston model
Forde, Martin
;
Jacquier, Antoine
- In:
International journal of theoretical and applied finance
12
(
2009
)
6
,
pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
Saved in:
7
Markovian stochastic
volatility
with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles
Forde, Martin
;
Smith, Benjamin
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10014365673
Saved in:
8
Rough
volatility
, CGMY jumps with a finite history and the Rough Heston model : small-time asymptotics in the k/t regime
Forde, Martin
;
Smith, Benjamin
;
Viitasaari, Lauri
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 541-563
Persistent link: https://www.econbiz.de/10012483838
Saved in:
9
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
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