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Martin Forde

11 papers hereh-index 14877 citations55 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author2
  • first author6
  • middle author1
  • last author2

Across the 11 of 11 papers where every author was matched, so the position is known.

fields
  • q-fin.PR7
  • math.PR4

identity via Semantic Scholar / OpenAlex

activity
20062025
most citedAsymptotics for rough stochastic volatility models

88 citations · 182 across the 11 of their papers we have counts for

collaborators
Showing 2025Show all

1 paper · 1 filter

math.PR2025

Lévy processes as weak limits of rough Heston models

Alessandro Bondi, Martin Forde

We show weak convergence of the time-t marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian Lévy process. This shows we can obtain such…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.