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Peter K. Friz · Study
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Author
Peter K. Friz
46 works
· latest 2021
· 7 institutions
cluster: provisional
ORCID 0000-0003-2571-8388
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46
Citations
4,281
Works here
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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
46 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
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