Concepedia

Peter K. Friz

PK

53

Publications

2.4K

Citations

28

H-Index

1999

Active since

Affiliations

Technische Universität Berlin(Current)

Weierstrass Institute for Applied Analysis and Stochastics

University of Cambridge

Université Paris Dauphine-PSL

University of Oxford

Peter K. Friz is an author at Technische Universität Berlin specializing in engineering, probability theory, and stochastic calculus.

Top concepts

EngineeringProbabilityStochastic CalculusFunctional AnalysisFinanceBusinessAsset PricingBrownian MotionStochastic ProcessesNumerical Analysis

Publications per year

1999–2023

53

Publications

53

Pricing under rough volatility

Christian Bayer, Peter K. Friz, Jim Gatheral · Quantitative Finance · 2015 · 418 citations

Option Pricing, Volatility Modeling, Multivariate Stochastic Volatility +14

REGULAR VARIATION AND SMILE ASYMPTOTICS

Sagie Benaim, Peter K. Friz · Mathematical Finance · 2009 · 138 citations · Full text

Large Deviations, Volatility Modeling, Financial Economics +12

Densities for rough differential equations under Hörmander’s condition

Thomas Cass, Peter K. Friz · Annals of Mathematics · 2010 · 132 citations · Full text

A (rough) pathwise approach to a class of non-linear stochastic partial differential equations

Harald Oberhauser, Michael Caruana, Peter K. Friz · Annales de l Institut Henri Poincaré C Analyse Non Linéaire · 2010 · 88 citations · Full text

Smile Asymptotics II: Models with Known Moment Generating Functions

Shalom Benaim, Peter K. Friz · Journal of Applied Probability · 2008 · 80 citations

Risk Neutral Returns, Log Strike, Engineering +11

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