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Peter Friz

Identifiers

  • name variant Peter Friz 0.60 · backfill

Papers (38)

  1. Option Pricing in the Moderate Deviations Regime q-fin.PR · 2016 · author #1
  2. Varadhan's formula, conditioned diffusions, and local volatilities q-fin.PR · 2013 · author #2
  3. Pathwise stability of likelihood estimators for diffusions via rough paths math.PR · 2013 · author #2
  4. On the probability density function of baskets math.PR · 2013 · author #2
  5. Stochastic control with rough paths math.PR · 2013 · author #2
  6. Physical Brownian motion in magnetic field as rough path math.PR · 2013 · author #1
  7. General Rough integration, Levy Rough paths and a Levy--Kintchine type formula math.PR · 2012 · author #1
  8. Doob--Meyer for rough paths math.PR · 2012 · author #1
  9. Convergence rates for the full Gaussian rough paths math.PR · 2011 · author #1
  10. Don't stay local - extrapolation analytics for Dupire's local volatility q-fin.PR · 2011 · author #1
  11. Integrability of (non-)linear rough differential equations and integrals math.PR · 2011 · author #1
  12. A note on higher dimensional $p$-variation math.PR · 2011 · author #1
  13. Semi-Closed Form Cubature and Applications to Financial Diffusion Models q-fin.CP · 2010 · author #2
  14. On the splitting-up method for rough (partial) differential equations math.PR · 2010 · author #1
  15. Backward stochastic differential equations with rough drivers math.PR · 2010 · author #2
  16. Rough path stability of (semi-)linear SPDEs math.PR · 2010 · author #1
  17. A generalized Fernique theorem and applications math.PR · 2010 · author #1
  18. Is the minimum value of an option on variance generated by local volatility? q-fin.CP · 2010 · author #2
  19. A (rough) pathwise approach to a class of non-linear stochastic partial differential equations math.AP · 2009 · author #2
  20. From random walks to rough paths math.PR · 2008 · author #2
  21. Non-standard approximations of the Ito-map math.PR · 2008 · author #1
  22. Partial differential equations driven by rough paths math.AP · 2008 · author #2
  23. Differential Equations Driven by Gaussian Signals II math.PR · 2007 · author #1
  24. Isoperimetry and Rough Path Regularity math.PR · 2007 · author #1
  25. Densities for Rough Differential Equations under Hoermander's Condition math.PR · 2007 · author #2
  26. Good rough path sequences and applications to anticipating stochastic calculus math.PR · 2007 · author #2
  27. Differential Equations Driven by Gaussian Signals I math.PR · 2007 · author #1
  28. Non-degeneracy of Wiener functionals arising from rough differential equations math.PR · 2007 · author #2
  29. On Uniformly Subelliptic Operators and Stochastic Area math.PR · 2006 · author #1
  30. The Burkholder-Davis-Gundy Inequality for Enhanced Martingales math.PR · 2006 · author #1
  31. Smile Asymptotics II: Models with Known Moment Generating Function math.PR · 2006 · author #2
  32. Regular Variation and Smile Asymptotics math.PR · 2006 · author #2
  33. Euler Estimates of Rough Differential Equations math.CA · 2006 · author #1
  34. Large Deviation Principle for Enhanced Gaussian Processes math.PR · 2005 · author #1
  35. A Variation Embedding Theorem and Applications math.PR · 2005 · author #1
  36. Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus math.PR · 2005 · author #2
  37. A Note on the Notion of Geometric Rough Paths math.FA · 2004 · author #1
  38. Approximations of the Brownian Rough Path with Applications to Stochastic Analysis math.PR · 2003 · author #1

Mentions

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Frequent Coauthors