Martin Forde
King's College
H-index: 16
North America-United States
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 |