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Peter K. Friz
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
Bestätigte E-Mail-Adresse bei math.tu-berlin.de - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics
PK Friz, NB Victoir
Cambridge University Press, Cambridge, 2010
1077*2010
A course on rough paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing (2nd edition), 2020
941*2020
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
5412016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1492010
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
1242010
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
1062011
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
842005
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
822019
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
822008
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
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
732009
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
732006
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
Robust filtering: correlated noise and multidimensional observation
D Crisan, J Diehl, PK Friz, H Oberhauser
Annals of Applied Probability 23 (5), 2139-2160, 2013
682013
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
682005
Convergence rates for the full Gaussian rough paths
P Friz, S Riedel
Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014
672014
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
672009
General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula
PK Friz, A Shekhar
Annals of Probability 45 (4), 2707-2765, 2017
66*2017
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
652014
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