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
666*2010
A Course on Rough Paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing, 2014
499*2014
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
2142016
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
1272009
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1232010
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
982010
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
892011
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
772011
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
742008
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
742005
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
682006
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
622005
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
612009
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
582009
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
562014
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
562009
Multidimensional dimensional processes seen as rough paths
P Friz, N Victoir
Cambridge University Press, 2010
532010
Euler estimates for rough differential equations
P Friz, N Victoir
Journal of Differential Equations 244 (2), 388-412, 2008
532008
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
522013
Parametrising the attractor of the two-dimensional Navier–Stokes equations with a finite number of nodal values
PK Friz, JC Robinson
Physica D: Nonlinear Phenomena 148 (3-4), 201-220, 2001
512001
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