Pricing under rough volatility
2015 · Quantitative Finance · 418 citations
https://doi.org/10.1080/14697688.2015.1099717
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Peter K. Friz
Weierstrass Institute for Applied Analysis and Stochastics(DE)
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Peter K. Friz is an academic researcher from Weierstrass Institute for Applied Analysis and Stochastics. The author has contributed to research in topics: Stochastic processes and financial applications & Financial Risk and Volatility Modeling & Stochastic processes and statistical mechanics. The author has an h-index of 35, co-authored 235 publications.
ORCID: 0000-0003-2571-8388Papers by this author
worksA Course on Rough Paths
2020 · Universitext · 153 citations
https://doi.org/10.1007/978-3-030-41556-3
Differential equations driven by rough paths with jumps
2018 · Journal of Differential Equations · 63 citations
https://doi.org/10.1016/j.jde.2018.01.031
The enhanced Sanov theorem and propagation of chaos
2017 · Stochastic Processes and their Applications · 12 citations
https://doi.org/10.1016/j.spa.2017.09.010
Regularity of SLE in $$(t,\kappa )$$ and refined GRR estimates
2021 · Probability Theory and Related Fields · 8 citations
https://doi.org/10.1007/s00440-021-01058-0
Smooth Rough Paths, Their Geometry and Algebraic Renormalization
2022 · Vietnam Journal of Mathematics · 8 citations
https://doi.org/10.1007/s10013-022-00570-7
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