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Peter K. Friz
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
Adresă de e-mail confirmată pe math.tu-berlin.de - Pagina de pornire
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Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics
PK Friz, NB Victoir
Cambridge University Press, Cambridge, 2010
1151*2010
A course on rough paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing (2nd edition), 2020
1035*2020
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
5982016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1542010
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
1422009
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
1302010
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 Poincaré C, Analyse non linéaire 28 (1), 27-46, 2011
1122011
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
862019
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
842005
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
832011
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
822008
Differential equations driven by rough paths with jumps
PK Friz, H Zhang
Journal of Differential Equations 264 (10), 6226-6301, 2018
802018
Robust filtering: correlated noise and multidimensional observation
D Crisan, J Diehl, PK Friz, H Oberhauser
Annals of Applied Probability 23 (5), 2139-2160, 2013
782013
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
772009
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
762006
General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula
PK Friz, A Shekhar
Annals of Probability 45 (4), 2707-2765, 2017
73*2017
The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
PK Friz, B Gess, A Gulisashvili, S Riedel
Annals of Probability 44 (1), 684-738, 2016
732016
Convergence rates for the full Gaussian rough paths
P Friz, S Riedel
Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014
712014
Physical Brownian motion in magnetic field as rough path
P Friz, P Gassiat, T Lyons
Trans. Amer. Math. Soc. 367 (2015) 7939-7955., 2013
692013
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
682014
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