S
Zodix
Study
Academic Library
Search
Shelves
Open access
Sign in
Search or jump to…
⌘K
Peter K. Friz · Study
Home
/
Author
Peter K. Friz
47 works
· latest 2021
· 7 institutions
cluster: provisional
ORCID 0000-0003-2571-8388
Follow
Suggest an ORCID correction
h-index
35
i10
47
Citations
4,305
Works here
47
05
07
08
09
10
11
12
13
14
15
16
17
18
19
20
21
Most cited in this library
Multidimensional Stochastic Processes as Rough Paths
2010 · 750 citations
Pricing under rough volatility
2015 · 461 citations
A Course on Rough Paths
2014 · 428 citations
Stochastic partial differential equations
2020 · 216 citations
A Course on Rough Paths
2020 · 180 citations
Works
47 shown
Short-dated smile under rough volatility: asymptotics and numerics
Quantitative Finance
·
2021
·
3 authors
·
Open access
24
citations
Precise asymptotics: Robust stochastic volatility models
The Annals of Applied Probability
·
2021
·
3 authors
·
Open access
31
citations
A Course on Rough Paths: With an Introduction to Regularity Structures
·
2020
·
2 authors
153
citations
Stochastic partial differential equations
Universitext
·
2020
·
2 authors
·
chapter
216
citations
A Course on Rough Paths
Universitext
·
2020
·
2 authors
·
book
180
citations
A regularity structure for rough volatility
Mathematical Finance
·
2019
·
4 authors
·
Open access
65
citations
Short-time near-the-money skew in rough fractional volatility models
Quantitative Finance
·
2018
·
5 authors
·
Open access
68
citations
Differential equations driven by rough paths with jumps
Journal of Differential Equations
·
2018
·
2 authors
·
Open access
64
citations
Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac
Annales de la faculté des sciences de Toulouse Mathématiques
·
2017
·
3 authors
·
Open access
29
citations
Option pricing in the moderate deviations regime
Mathematical Finance
·
2017
·
3 authors
·
Open access
28
citations
General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula
The Annals of Probability
·
2017
·
2 authors
·
Open access
47
citations
Malliavin calculus for regularity structures: The case of gPAM
Journal of Functional Analysis
·
2016
·
3 authors
·
Open access
44
citations
The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
The Annals of Probability
·
2016
·
4 authors
·
Open access
54
citations
Pricing under rough volatility
Quantitative Finance
·
2015
·
3 authors
461
citations
Physical Brownian motion in a magnetic field as a rough path
Transactions of the American Mathematical Society
·
2015
·
3 authors
·
Open access
59
citations
Stochastic scalar conservation laws driven by rough paths
Annales de l Institut Henri Poincaré C Analyse Non Linéaire
·
2015
·
2 authors
·
Open access
26
citations
Large Deviations and Asymptotic Methods in Finance
Springer proceedings in mathematics & statistics
·
2015
·
5 authors
·
book
60
citations
A Course on Rough Paths
Universitext
·
2014
·
2 authors
·
book
428
citations
Stochastic Partial Differential Equations
Universitext
·
2014
·
2 authors
·
chapter
45
citations
Convergence rates for the full Gaussian rough paths
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2013
·
2 authors
·
Open access
56
citations
Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
Communications on Pure and Applied Mathematics
·
2013
·
4 authors
39
citations
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
Communications on Pure and Applied Mathematics
·
2013
·
4 authors
42
citations
Integrability of (Non-)Linear Rough Differential Equations and Integrals
Stochastic Analysis and Applications
·
2013
·
2 authors
37
citations
Rough path stability of (semi-)linear SPDEs
Probability Theory and Related Fields
·
2013
·
2 authors
·
Open access
25
citations
Backward stochastic differential equations with rough drivers
The Annals of Probability
·
2012
·
2 authors
·
Open access
34
citations
On refined volatility smile expansion in the Heston model
Quantitative Finance
·
2011
·
4 authors
53
citations
A Note on Higher Dimensional p-Variation
Electronic Journal of Probability
·
2011
·
2 authors
·
Open access
26
citations
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
Annales de l Institut Henri Poincaré C Analyse Non Linéaire
·
2010
·
3 authors
·
Open access
90
citations
A generalized Fernique theorem and applications
Proceedings of the American Mathematical Society
·
2010
·
2 authors
·
Open access
41
citations
Differential equations driven by Gaussian signals
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2010
·
2 authors
·
Open access
113
citations
Densities for rough differential equations under Hörmander’s condition
Annals of Mathematics
·
2010
·
2 authors
·
Open access
131
citations
Multidimensional Stochastic Processes as Rough Paths
Cambridge University Press eBooks
·
2010
·
2 authors
·
book
750
citations
From random walks to rough paths
Proceedings of the American Mathematical Society
·
2009
·
3 authors
·
Open access
27
citations
Rough path limits of the Wong–Zakai type with a modified drift term
Journal of Functional Analysis
·
2009
·
2 authors
·
Open access
44
citations
Partial differential equations driven by rough paths
Journal of Differential Equations
·
2009
·
2 authors
·
Open access
56
citations
Non-degeneracy of Wiener functionals arising from rough differential equations
Transactions of the American Mathematical Society
·
2009
·
3 authors
·
Open access
52
citations
REGULAR VARIATION AND SMILE ASYMPTOTICS
Mathematical Finance
·
2009
·
1 author
·
Open access
133
citations
On Black‐Scholes Implied Volatility at Extreme Strikes
·
2008
·
3 authors
·
other
43
citations
Smile Asymptotics II: Models with Known Moment Generating Functions
Journal of Applied Probability
·
2008
·
2 authors
·
Open access
80
citations
Euler estimates for rough differential equations
Journal of Differential Equations
·
2007
·
2 authors
·
Open access
51
citations
On uniformly subelliptic operators and stochastic area
Probability Theory and Related Fields
·
2007
·
2 authors
·
Open access
24
citations
Good rough path sequences and applications to anticipating stochastic calculus
The Annals of Probability
·
2007
·
3 authors
·
Open access
32
citations
A note on the notion of geometric rough paths
Probability Theory and Related Fields
·
2005
·
2 authors
·
Open access
60
citations
Valuation of volatility derivatives as an inverse problem
Quantitative Finance
·
2005
·
2 authors
55
citations
Continuity of the Itô-Map for Holder Rough Paths with Applications to the Support Theorem in Holder Norm
The IMA volumes in mathematics and its applications
·
2005
·
1 author
·
chapter
29
citations
Approximations of the Brownian rough path with applications to stochastic analysis
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2004
·
2 authors
·
Open access
65
citations
Application of large deviation methods to the pricing of index options in finance
Comptes Rendus Mathématique
·
2003
·
4 authors
·
Open access
35
citations