Követés
Peter K. Friz
Peter K. Friz
Professor of Mathematics, TU and WIAS Berlin
E-mail megerősítve itt: math.tu-berlin.de - Kezdőlap
Cím
Hivatkozott rá
Hivatkozott rá
Év
Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics
PK Friz, NB Victoir
Cambridge University Press, Cambridge, 2010
1157*2010
A course on rough paths: With an Introduction to Regularity Structures
PK Friz, M Hairer
Springer International Publishing (2nd edition), 2020
1039*2020
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
6012016
Differential equations driven by Gaussian signals
P Friz, N Victoir
Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010
1542010
Regular variation and smile asymptotics
S Benaim, P Friz
Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009
1422009
Densities for Rough Differential Equations under Hoermander's Condition
T Cass, P Friz
Annals of Mathematics 171 (3), 2115-2141, 2010
1312010
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
1122011
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
862019
Valuation of volatility derivatives as an inverse problem
P Friz, J Gatheral
Quantitative Finance 5 (6), 531-542, 2005
842005
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
832011
Smile asymptotics II: models with known moment generating functions
S Benaim, P Friz
Journal of Applied Probability 45 (1), 16-32, 2008
822008
Differential equations driven by rough paths with jumps
PK Friz, H Zhang
Journal of Differential Equations 264 (10), 6226-6301, 2018
802018
Robust filtering: correlated noise and multidimensional observation
D Crisan, J Diehl, PK Friz, H Oberhauser
Annals of Applied Probability 23 (5), 2139-2160, 2013
782013
Partial differential equations driven by rough paths
M Caruana, P Friz
Journal of Differential Equations 247 (1), 140-173, 2009
782009
A note on the notion of geometric rough paths
P Friz, N Victoir
Probability theory and related fields 136 (3), 395-416, 2006
762006
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
732016
Convergence rates for the full Gaussian rough paths
P Friz, S Riedel
Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014
712014
Physical Brownian motion in magnetic field as rough path
P Friz, P Gassiat, T Lyons
Trans. Amer. Math. Soc. 367 (2015) 7939-7955., 2013
692013
A variation embedding theorem and applications
P Friz, N Victoir
Journal of Functional Analysis 239 (2), 631-637, 2006
692006
A rendszer jelenleg nem tudja elvégezni a műveletet. Próbálkozzon újra később.
Cikkek 1–20