Peter K. Friz
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
Verified email at - Homepage
Cited by
Cited by
Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics
PK Friz, NB Victoir
Cambridge University Press, Cambridge, 2010
A Course on Rough Paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing, 2014
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
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
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
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
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
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
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
Multidimensional dimensional processes seen as rough paths
P Friz, N Victoir
Cambridge University Press, 2010
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
Euler estimates for rough differential equations
P Friz, N Victoir
Journal of Differential Equations 244 (2), 388-412, 2008
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
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