Research output per year
Research output per year
Personal profile
Research interests
Asymptotics for stochastic volatility models and Lévy processes with an emphasis on large deviations theory, and diffusion-type processes.
Research interests (short)
Asymptotics for stochastic volatility models and Lévy processes.
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Research output
- 27 Article
-
Optimal trade execution for Gaussian signals with power-law resilience
Forde, M., Sánchez-Betancourt, L. & Smith, B., 4 Mar 2022, In: Quantitative Finance. 22, 3, p. 585-596 12 p.Research output: Contribution to journal › Article › peer-review
Open Access8 Citations (Scopus) -
The Riemann–Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model
Forde, M., Fukasawa, M., Gerhold, S. & Smith, B., Feb 2022, In: Statistics and Probability Letters. 181, 109265.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus) -
Small-time, large-time, and H→0 asymptotics for the Rough Heston model
Forde, M., Gerhold, S. & Smith, B., Jan 2021, In: MATHEMATICAL FINANCE. 31, 1, p. 203-241 39 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile13 Citations (Scopus)72 Downloads (Pure) -
Rough volatility, CGMY jumps with a finite history and the Rough Heston model–small-time asymptotics in the k √t regime
Forde, M., Smith, B. & Viitasaari, L., 1 Sept 2020, (E-pub ahead of print) In: Quantitative Finance. 2020, p. 0-0Research output: Contribution to journal › Article › peer-review
Open AccessFile6 Citations (Scopus)140 Downloads (Pure) -
The conditional law of the Bacry–Muzy and Riemann–Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces
Forde, M. & Smith, B., 20 Feb 2020, (E-pub ahead of print) In: Statistics and Probability Letters. 161, 108732.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Citations (Scopus)29 Downloads (Pure)