Concepedia

Martin Forde

MF

20

Publications

749

Citations

13

H-Index

2009

Active since

Affiliations

Dublin City University(Current)

Imperial College London

King's College London

The Alan Turing Institute

King's College School

Martin Forde is an author at Dublin City University specializing in engineering, volatility modeling, and business.

Top concepts

EngineeringBusinessVolatility ModelingOption PricingStochastic CalculusAsset PricingProbabilityFinanceSpectral TheoryLarge Deviations

Publications per year

2009–2021

20

Publications

20

The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model

Martin Forde, Antoine Jacquier, Roger Lee · SIAM Journal on Financial Mathematics · 2012 · 121 citations · Full text

Volatility Modeling, Option Pricing, Financial Economics +9

SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL

Martin Forde, Antoine Jacquier · International Journal of Theoretical and Applied Finance · 2009 · 116 citations

Spectral Theory, Large Deviations, Option Pricing +11

The large-maturity smile for the Heston model

Martin Forde, Antoine Jacquier · Finance and Stochastics · 2010 · 76 citations

Large-maturity Smile, Social Behavior, Psychology +1

Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

Jin Feng, Martin Forde, Jean‐Pierre Fouque · SIAM Journal on Financial Mathematics · 2010 · 69 citations · Full text

Large Deviations, Volatility Modeling, Multivariate Stochastic Volatility +13

Asymptotic formulae for implied volatility in the Heston model

Martin Forde, Antoine Jacquier, Aleksandar Mijatović · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 64 citations · Full text

Spectral Theory, Engineering, Stochastic Calculus +7

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