Dr Martin Forde Dr Martin Forde Academics Supervisors Lecturer in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 1191 martin.forde@kcl.ac.uk
The Riemann–Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model Forde, M., Fukasawa, M., Gerhold, S. & Smith, B., Feb 2022, In: Statistics and Probability Letters. 181, 109265. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spl.2021.109265 Optimal trade execution for Gaussian signals with power-law resilience Forde, M., Sánchez-Betancourt, L. & Smith, B., 4 Mar 2022, In: Quantitative Finance. 22, 3, p. 585-596 12 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/14697688.2021.1950919 Small-time, large-time, and H→0 asymptotics for the Rough Heston model Forde, M., Gerhold, S. & Smith, B., Jan 2021, In: MATHEMATICAL FINANCE. 31, 1, p. 203-241 39 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1111/mafi.12290 Rough volatility, CGMY jumps with a finite history and the Rough Heston model–small-time asymptotics in the k √t regime Forde, M., Smith, B. & Viitasaari, L., 1 Sep 2020, (E-pub ahead of print) In: Quantitative Finance. 2020, p. 0-0 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/14697688.2020.1790634 The conditional law of the Bacry–Muzy and Riemann–Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces Forde, M. & Smith, B., 20 Feb 2020, (E-pub ahead of print) In: Statistics and Probability Letters. 161, 108732. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spl.2020.108732 The conditional law of the Bacry-Muzy and Riemann-Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces Forde, M. S. & Smith, B. F., 9 Feb 2020, (Accepted/In press) In: Statistics & Probability Letters. Research output: Contribution to journal › Article › peer-review Pathwise superhedging for time-dependent barrier options on càdlàg paths: Finite or infinite tradeable European, One-Touch, lookback or forward starting options Forde, M., 11 Apr 2018, In: Stochastic Processes and Their Applications. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spa.2018.03.019 On the Markovian projection in the Brunick-Shreve mimicking result Forde, M., Feb 2014, In: Statistics & Probability Letters. 85, 1, p. 98-105 8 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spl.2013.11.005 Large deviations for the boundary local time of doubly reflected Brownian motion Forde, M., Kumar, R. & Zhang, H., 1 Jan 2015, In: Statistics & Probability Letters. 96, p. 262-268 7 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.spl.2014.09.004 Small-time asymptotics for basket options - the bi-variate SABR model and the hyperbolic heat kernel on H3 Forde, M. & Zhang, H., 21 Apr 2016, In: SIAM Journal on Financial Mathematics. 7, 1, p. 448-476 29 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/15M1029795 View all publications