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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
1116*2010
A course on rough paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing (2nd edition), 2020
981*2020
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
5592016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1512010
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
1412009
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
1282010
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
1092011
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
842019
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
832008
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
832005
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
812011
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
762009
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
742006
Robust filtering: correlated noise and multidimensional observation
D Crisan, J Diehl, PK Friz, H Oberhauser
Annals of Applied Probability 23 (5), 2139-2160, 2013
722013
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
712016
General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula
PK Friz, A Shekhar
Annals of Probability 45 (4), 2707-2765, 2017
70*2017
Convergence rates for the full Gaussian rough paths
P Friz, S Riedel
Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014
692014
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
692009
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
672005
Differential equations driven by rough paths with jumps
PK Friz, H Zhang
Journal of Differential Equations 264 (10), 6226-6301, 2018
662018
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