Patrick Roome

Asymptotics of Forward Implied Volatility

Antoine Jacquier, Patrick Roome, A. Jacquier, 2012, SIAM J. Financial Math..

The Small-Maturity Heston Forward Smile

Antoine Jacquier, Patrick Roome, A. Jacquier, 2013, SIAM J. Financial Math..

Asymptotic Behavior of the Fractional Heston Model

Antoine Jacquier, Patrick Roome, Fangwei Shi, 2018, SIAM J. Financial Math..

Asymptotic Behaviour of the Fractional Heston Model

Patrick Roome, Hamza Guennoun, Antoine (Jack) Jacquier, 2014 .