معرفی
Martin Forde is a Lecturer in Financial Mathematics at King's College London's Department of Mathematics, part of the Faculty of Natural, Mathematical & Engineering Sciences. He joined King's in 2011 and previously held roles as a Research Fellow at Dublin City University and Visiting Assistant Professor at the University of California, Santa Barbara. His research focuses on asymptotics for stochastic volatility models, Lévy processes, and diffusion-type processes, with applications in financial mathematics and quantitative finance. His work often involves large deviations theory and explores topics like volatility smile dynamics, rough volatility models, and optimal trade execution strategies.
Key research interests include rough volatility, price impact models, Gaussian fields, and robust hedging of exotic options. He contributes to events such as the London-Paris Bachelier Workshop in Financial Mathematics and maintains an active publication record in journals like Risk, Quantitative Finance, and Mathematical Finance. His recent work addresses small-time and large-time asymptotics in models like the Rough Heston and Stein-Stein frameworks, as well as the analysis of multiplicative chaos and log-correlated Gaussian fields.
Publications highlight advancements in understanding the behavior of financial derivatives under stochastic volatility, including papers on the conditional law of Bacry-Muzy fields, rough Bergomi model skew flattening, and optimal execution strategies under drift uncertainty. His research bridges theoretical probability and applied finance, with a focus on rigorous mathematical analysis of market dynamics and derivative pricing.
