Martin Forde

Dublin City University - Department of Mathematical Sciences

Dublin

Ireland

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

1.

Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility

Applied Mathematical Finance 17 (3): 241-259
Posted: 04 Apr 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

volatility swaps, Heston model, Asian options, calibration

2.

A Note on Essential Smoothness in the Heston Model

Finance Stochastics, Forthcoming
Posted: 15 Jul 2011 Last Revised: 19 Apr 2013
Imperial College London, Imperial College London and Dublin City University - Department of Mathematical Sciences

Abstract:

Essential smoothness, large deviation principle, Heston model

3.

Small-Time Asymptotics for Implied Volatility under the Heston Model

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 861-876, 2009
Posted: 30 Nov 2009 Last Revised: 23 Mar 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

Implied volatility asymptotics, Heston, large deviation, small-time behavior

4.

Small-Time Asymptotics for Implied Volatility Under a General Local-Stochastic Volatility Model

Applied Mathematical Finance, Vol. 18, No. 6, 2011
Posted: 27 Nov 2009 Last Revised: 04 Jun 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

local volatility, stochastic volatility, asymptotics, differential geometry, Freidlin-Wentzell theory

5.

The Large Maturity Smile for the Heston Model

Posted: 27 Nov 2009 Last Revised: 04 Jun 2012
Martin Forde and Antoine Jacquier
Dublin City University - Department of Mathematical Sciences and Imperial College London

Abstract:

Heston model, asymptotics, smile, large deviations, calibration

6.

Asymptotic Formulae for Implied Volatility in the Heston Model

Proceedings of the Royal Society A
Posted: 16 Nov 2009 Last Revised: 23 Mar 2012
Dublin City University - Department of Mathematical Sciences, Imperial College London and Imperial College London

Abstract:

implied volatility, Heston model, closed-form formula, saddlepoint approximation, calibration