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
Paolo PigatoUniversity of Rome Tor VergataVerified email at uniroma2.eu
Benjamin GessTechnische Universität Berlin & Max Planck Institute for Mathematics in the Sciences, LeipzigVerified email at tu-berlin.de
James C. RobinsonProfessor of Mathematics, University of WarwickVerified email at warwick.ac.uk
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
Nikolas TapiaWIAS BerlinVerified email at wias-berlin.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
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	1153*	2010
A course on rough paths: With an Introduction to Regularity Structures PK Friz, M Hairer Springer International Publishing (2nd edition), 2020	1036*	2020
Pricing under rough volatility C Bayer, P Friz, J Gatheral Quantitative Finance 16 (6), 887-904, 2016	599	2016
Differential equations driven by Gaussian signals P Friz, N Victoir Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010	154	2010
Regular variation and smile asymptotics S Benaim, P Friz Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009	142	2009
Densities for Rough Differential Equations under Hoermander's Condition T Cass, P Friz Annals of Mathematics 171 (3), 2115-2141, 2010	130	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	112	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	86	2019
Valuation of volatility derivatives as an inverse problem P Friz, J Gatheral Quantitative Finance 5 (6), 531-542, 2005	84	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	83	2011
Smile asymptotics II: models with known moment generating functions S Benaim, P Friz Journal of Applied Probability 45 (1), 16-32, 2008	82	2008
Differential equations driven by rough paths with jumps PK Friz, H Zhang Journal of Differential Equations 264 (10), 6226-6301, 2018	80	2018
Robust filtering: correlated noise and multidimensional observation D Crisan, J Diehl, PK Friz, H Oberhauser Annals of Applied Probability 23 (5), 2139-2160, 2013	78	2013
Partial differential equations driven by rough paths M Caruana, P Friz Journal of Differential Equations 247 (1), 140-173, 2009	77	2009
A note on the notion of geometric rough paths P Friz, N Victoir Probability theory and related fields 136 (3), 395-416, 2006	76	2006
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	73	2016
Convergence rates for the full Gaussian rough paths P Friz, S Riedel Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014	71	2014
Physical Brownian motion in magnetic field as rough path P Friz, P Gassiat, T Lyons Trans. Amer. Math. Soc. 367 (2015) 7939-7955., 2013	69	2013
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	68	2014

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