| Small-time asymptotics for implied volatility under the Heston model M Forde, A Jacquier International Journal of Theoretical and Applied Finance 12 (06), 861-876, 2009 | 140 | 2009 |
| The small-time smile and term structure of implied volatility under the Heston model M Forde, A Jacquier, R Lee SIAM Journal on Financial Mathematics 3 (1), 690-708, 2012 | 121 | 2012 |
| Asymptotics for rough stochastic volatility models M Forde, H Zhang SIAM Journal on Financial Mathematics 8 (1), 114-145, 2017 | 106 | 2017 |
| The large-maturity smile for the Heston model M Forde, A Jacquier Finance and Stochastics 15 (4), 755-780, 2011 | 85 | 2011 |
| Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model J Feng, M Forde, JP Fouque SIAM Journal on Financial Mathematics 1 (1), 126-141, 2010 | 84 | 2010 |
| Asymptotic formulae for implied volatility in the Heston model M Forde, A Jacquier, A Mijatović Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2010 | 78 | 2010 |
| Small-time asymptotics for an uncorrelated local-stochastic volatility model M Forde, A Jacquier Applied Mathematical Finance 18 (6), 517-535, 2011 | 55 | 2011 |
| The small-maturity smile for exponential Lévy models JE Figueroa-López, M Forde SIAM Journal on Financial Mathematics 3 (1), 33-65, 2012 | 53 | 2012 |
| Robust approximations for pricing Asian options and volatility swaps under stochastic volatility M Forde, A Jacquier Applied Mathematical Finance 17 (3), 241-259, 2010 | 34 | 2010 |
| Small-time, large-time and H→0 asymptotics for the rough Heston model M Forde, S Gerhold, B Smith | 32* | 2020 |
| The large-maturity smile for the SABR and CEV-Heston models M Forde, A Pogudin International Journal of Theoretical and Applied Finance 16 (08), 1350047, 2013 | 24 | 2013 |
| Optimal trade execution for gaussian signals with power-law resilience LSB Martin Forde, Benjamin Smith Quantitative Finance, 2021 | 22* | 2021 |
| The Riemann-Liouville field and its GMC as H->0, and skew flattening for the rough Bergomi model M Forde, M Fukasawa, S Gerhold, B Smith | 22* | 2020 |
| A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time M Forde Stochastic processes and their applications 121 (12), 2802-2817, 2011 | 19 | 2011 |
| Large deviations for the boundary local time of doubly reflected Brownian motion M Forde, R Kumar, H Zhang Stat. Prob. Lett. 96, 262-268, 2015 | 16 | 2015 |
| Large-time asymptotics for an uncorrelated stochastic volatility model M Forde Statistics & probability letters 81 (8), 1230-1232, 2011 | 16 | 2011 |
| Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion J Armstrong, M Forde, M Lorig, H Zhang SIAM Journal on Financial Mathematics 8 (1), 82-113, 2017 | 15 | 2017 |
| Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional M Forde International Journal of Theoretical and Applied Finance 14 (04), 559-578, 2011 | 15 | 2011 |
| Rough volatility and CGMY jumps with a finite history and the Rough Heston model - small-time asymptotics in the k√t regime M Forde, B Smith, L Viitasaari Quantitative Finance 21 (4), 541-563, 2021 | 14 | 2021 |
| The large-time smile and skew for exponential Lévy models JE Figueroa-López, M Forde, A Jacquier Working paper, 2011 | 14 | 2011 |
Antoine JacquierImperial College LondonVerified email at imperial.ac.uk
