Peter K. Friz

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Christian BayerResearch fellow, Weierstrass Institute, BerlinVerified email at wias-berlin.de
Jim GatheralProfessor of Mathematics, Baruch College, CUNYVerified email at baruch.cuny.edu
Harald OberhauserMathematical Institute, University of OxfordVerified email at maths.ox.ac.uk
Ilya ChevyrevReader, University of EdinburghVerified email at ed.ac.uk
Sebastian RiedelFernUniversität HagenVerified email at fernuni-hagen.de
Paul GassiatMaître de conférences, CEREMADE, Université Paris DauphineVerified email at ceremade.dauphine.fr
Joscha DiehlUniversity of GreifswaldVerified email at uni-greifswald.de
Martin HairerProfessor of Mathematics, EPFL and Imperial College LondonVerified email at imperial.ac.uk
Thomas CassProfessor of Mathematics, Imperial College LondonVerified email at imperial.ac.uk
Stefan GerholdProfessor, TU WienVerified email at fam.tuwien.ac.at
Antoine JacquierImperial College LondonVerified email at imperial.ac.uk
Ian MelbourneProfessor of Mathematics, University of WarwickVerified email at warwick.ac.uk
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
Paolo PigatoUniversity of Rome Tor VergataVerified email at uniroma2.eu
James C. RobinsonProfessor of Mathematics, University of WarwickVerified email at warwick.ac.uk
Benjamin GessBielefeld University & Max Planck Institute for Mathematics in the Sciences, LeipzigVerified email at math.uni-bielefeld.de
Wilhelm StannatProfessor für Stochastik, TU BerlinVerified email at math.tu-berlin.de
Dan CrisanProfessor of Mathematics, Imperial College LondonVerified email at imperial.ac.uk
Nikolas TapiaWIAS BerlinVerified email at wias-berlin.de
Yvain BrunedProfessor of Mathematics, Université de LorraineVerified email at univ-lorraine.fr

Peter K. Friz

Professor of Mathematics, TU and WIAS Berlin

Verified email at math.tu-berlin.de - Homepage

Stochastic Analysis Rough Analysis Applied Probability Data Science


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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	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	559	2016
Differential equations driven by Gaussian signals P Friz, N Victoir Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010	151	2010
Regular variation and smile asymptotics S Benaim, P Friz Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009	141	2009
Densities for Rough Differential Equations under Hoermander's Condition T Cass, P Friz Annals of Mathematics 171 (3), 2115-2141, 2010	128	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 Poincaré C, Analyse non linéaire 28 (1), 27-46, 2011	109	2011
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	84	2019
Smile asymptotics II: models with known moment generating functions S Benaim, P Friz Journal of Applied Probability 45 (1), 16-32, 2008	83	2008
Valuation of volatility derivatives as an inverse problem P Friz, J Gatheral Quantitative Finance 5 (6), 531-542, 2005	83	2005
On refined volatility smile expansion in the Heston model P Friz, S Gerhold, A Gulisashvili, S Sturm Quantitative Finance 11 (8), 1151-1164, 2011	81	2011
Partial differential equations driven by rough paths M Caruana, P Friz Journal of Differential Equations 247 (1), 140-173, 2009	76	2009
A note on the notion of geometric rough paths P Friz, N Victoir Probability theory and related fields 136 (3), 395-416, 2006	74	2006
Robust filtering: correlated noise and multidimensional observation D Crisan, J Diehl, PK Friz, H Oberhauser Annals of Applied Probability 23 (5), 2139-2160, 2013	72	2013
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	71	2016
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	69	2014
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	69	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	67	2005
Differential equations driven by rough paths with jumps PK Friz, H Zhang Journal of Differential Equations 264 (10), 6226-6301, 2018	66	2018

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