Dr Martin Forde Dr Martin Forde Academics Supervisors Lecturer in Financial Mathematics Contact details +44 020 7848 1191 martin.forde@kcl.ac.uk
Optimal trade execution with unknown drift The Riemann–Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model Optimal trade execution for Gaussian signals with power-law resilience Small-time, large-time, and H→0 asymptotics for the Rough Heston model Rough volatility, CGMY jumps with a finite history and the Rough Heston model–small-time asymptotics in the k √t regime The conditional law of the Bacry–Muzy and Riemann–Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces The conditional law of the Bacry-Muzy and Riemann-Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces Pathwise superhedging for time-dependent barrier options on càdlàg paths: Finite or infinite tradeable European, One-Touch, lookback or forward starting options On the Markovian projection in the Brunick-Shreve mimicking result Large deviations for the boundary local time of doubly reflected Brownian motion Small-time asymptotics for basket options - the bi-variate SABR model and the hyperbolic heat kernel on H3 The large-maturity smile for the SABR and CEV-heston models The large-maturity smile for the Stein-Stein model Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory Correction note for ‘The large-maturity smile for the Heston model’ The small-time smile and term structure of implied volatility under the Heston model The Large-maturity smile for the Heston model Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional A note on essential smoothness in the Heston model Large-time asymptotics for an uncorrelated stochastic volatility model Small-time asymptotics for an uncorrelated Local-Stochastic volatility model A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time Asymptotic formulae for implied volatility in the Heston Model Short Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model Robust approximations for pricing Asian options and volatility swaps under stochastic volatility Small-time asymptotics for implied volatility under the Heston model The small-maturity smile for exponential Lévy models View all publications