PhD University of Bristol

forde(at)pstat.ucsb.edu
South Hall 5508
805-893-4760

Research Area

Small-time asymptotics for stochastic and local volatility models, particularly use of large deviations and Wentzell-Freidlin theory and spectral approaches. Robust pricing of Asian and barrier options and volatility derivatives

Class information

Pstat 5E

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