Martin Forde

King's College

H-index: 16

North America-United States

About Martin Forde

Martin Forde, With an exceptional h-index of 16 and a recent h-index of 12 (since 2020), a distinguished researcher at King's College,

His recent articles reflect a diverse array of research interests and contributions to the field:

Optimal trade execution with unknown drift

Rough volatility and CGMY jumps with a finite history and the Rough Heston model - small-time asymptotics in the k√t regime

Small-time VIX smile and the stationary distribution for the Rough Heston model

Optimal trade execution for gaussian signals with power-law resilience

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 Riemann-Liouville field and its GMC as H->0, and skew flattening for the rough Bergomi model

Small-time, large-time and H→0 asymptotics for the rough Heston model

Martin Forde Information

University	King's College
Position	___
Citations(all)	1028
Citations(since 2020)	414
Cited By	768
hIndex(all)	16
hIndex(since 2020)	12
i10Index(all)	20
i10Index(since 2020)	15
Email	Access Email
University Profile Page	King's College
Google Scholar	View Google Scholar Profile

Top articles of Martin Forde

Title	Journal	Author(s)	Publication Date
Optimal trade execution with unknown drift		Martin Forde	2023
Rough volatility and CGMY jumps with a finite history and the Rough Heston model - small-time asymptotics in the k√t regime	Quantitative Finance	M Forde Benjamin Smith Lauri Viitasaari	2021
Small-time VIX smile and the stationary distribution for the Rough Heston model		Martin Forde Stefan Gerhold Benjamin Smith	2021
Optimal trade execution for gaussian signals with power-law resilience	Quantitative Finance	Martin Forde Leandro Sánchez-Betancourt Benjamin Smith	2022/3/4
The conditional law of the Bacry-Muzy and Riemann-Liouville log-correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces	Stat. Prob. Lett	Martin Forde Benjamin Smith	2020
The Riemann-Liouville field and its GMC as H->0, and skew flattening for the rough Bergomi model		Martin Forde Masaaki Fukasawa Stefan Gerhold Benjamin Smith	2020
Small-time, large-time and H→0 asymptotics for the rough Heston model		Martin Forde Stefan Gerhold Benjamin Smith	2020