88 citations · 182 across the 11 of their papers we have counts for
11 papers
Lévy processes as weak limits of rough Heston models
Alessandro Bondi, Martin Forde
We show weak convergence of the time- marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian Lévy process. This shows we can obtain such…
Small-time, large-time and asymptotics for the Rough Heston model
Martin Forde, Stefan Gerhold, Benjamin Smith
We characterize the behaviour of the Rough Heston model introduced by Jaisson\&Rosenbaum \cite{JR16} in the small-time, large-time and (i.e. ) limits. We show th…
Asymptotics for rough stochastic volatility models
Martin Forde, Hongzhong Zhang
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion where the rate function is defined via the reproducing kernel Hilbert space, we compute…
Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on
Martin Forde, Hongzhong Zhang
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both parameters equal to and three correlation parameters, which ex…
Large deviations for the boundary local time of doubly reflected Brownian Motion
Martin Forde, Rohini Kumar, Hongzhong Zhang
We compute a closed-form expression for the moment generating function , where is the local time at zero for standard Brownian…
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
John Armstrong, Martin Forde, Matthew Lorig +1
We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel…