Peter K. Friz
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
Verified email at math.tu-berlin.de - Homepage
Title
Cited by
Cited by
Year
Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics
PK Friz, NB Victoir
Cambridge University Press, Cambridge, 2010
714*2010
A Course on Rough Paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing, 2014
547*2014
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
2552016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1302010
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
1292009
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
1012010
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
M Caruana, PK Friz, H Oberhauser
Annales de l'Institut Henri Poincare (C) Non Linear Analysis 28 (1), 27-46, 2011
952011
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
802011
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
762008
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
752005
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
682006
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
632009
Approximations of the Brownian rough path with applications to stochastic analysis
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 41 (4), 703-724, 2005
632005
Non-degeneracy of Wiener functionals arising from rough differential equations
T Cass, P Friz, N Victoir
Transactions of the American Mathematical Society 361 (6), 3359-3371, 2009
602009
Rough path limits of the Wong–Zakai type with a modified drift term
P Friz, H Oberhauser
Journal of Functional Analysis 256 (10), 3236-3256, 2009
572009
Marginal density expansions for diffusions and stochastic volatility I: Theoretical foundations
JD Deuschel, PK Friz, A Jacquier, S Violante
Communications on Pure and Applied Mathematics 67 (1), 40-82, 2014
552014
Multidimensional dimensional processes seen as rough paths
P Friz, N Victoir
Cambridge University Press, 2010
542010
Robust filtering: correlated noise and multidimensional observation
D Crisan, J Diehl, PK Friz, H Oberhauser
The Annals of Applied Probability 23 (5), 2139-2160, 2013
532013
Euler estimates for rough differential equations
P Friz, N Victoir
Journal of Differential Equations 244 (2), 388-412, 2008
532008
Short-time near-the-money skew in rough fractional volatility models
C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper
Quantitative Finance 19 (5), 779-798, 2019
522019
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