Asymptotics

1. Large deviations for the boundary local time of doubly reflected Brownian motion, Martin Forde, Rohini Kumar and Hongzhong Zhang, Statistics & Probability Letters 96, pp. 262-268, 2015.

2. Small-time asymptotics for baskets options - the bi-variate SABR model and the hyperbolic heat kernel on H3, Martin Forde and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 7(1), pp. 448–476, 2017.

3. Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion, John Amstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 8(1), pp. 82–113, 2017.

4. Asymptotics for rough stochastic volatility models, Martin Forde and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 8(1), 114–145, 2017.