Peter K. Friz 个人学术档案

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引用	6427	3505
h 指数	41	26
i10 指数	92	67

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Christian BayerResearch fellow, Weierstrass Institute, Berlin在 wias-berlin.de 的电子邮件经过验证
Jim GatheralProfessor of Mathematics, Baruch College, CUNY在 baruch.cuny.edu 的电子邮件经过验证
Harald OberhauserMathematical Institute, University of Oxford在 maths.ox.ac.uk 的电子邮件经过验证
Ilya ChevyrevReader, University of Edinburgh在 ed.ac.uk 的电子邮件经过验证
Sebastian RiedelFernUniversität Hagen在 fernuni-hagen.de 的电子邮件经过验证
Paul GassiatMaître de conférences, CEREMADE, Université Paris Dauphine在 ceremade.dauphine.fr 的电子邮件经过验证
Joscha DiehlUniversity of Greifswald在 uni-greifswald.de 的电子邮件经过验证
Martin HairerProfessor of Mathematics, EPFL and Imperial College London在 imperial.ac.uk 的电子邮件经过验证
Thomas CassProfessor of Mathematics, Imperial College London在 imperial.ac.uk 的电子邮件经过验证
Stefan GerholdProfessor, TU Wien在 fam.tuwien.ac.at 的电子邮件经过验证
Antoine JacquierImperial College London在 imperial.ac.uk 的电子邮件经过验证
Ian MelbourneProfessor of Mathematics, University of Warwick在 warwick.ac.uk 的电子邮件经过验证
Marco AvellanedaNew York University在 cims.nyu.edu 的电子邮件经过验证
Paolo PigatoUniversity of Rome Tor Vergata在 uniroma2.eu 的电子邮件经过验证
James C. RobinsonProfessor of Mathematics, University of Warwick在 warwick.ac.uk 的电子邮件经过验证
Benjamin GessBielefeld University & Max Planck Institute for Mathematics in the Sciences, Leipzig在 math.uni-bielefeld.de 的电子邮件经过验证
Dan CrisanProfessor of Mathematics, Imperial College London在 imperial.ac.uk 的电子邮件经过验证
Yvain BrunedProfessor of Mathematics, Université de Lorraine在 univ-lorraine.fr 的电子邮件经过验证
Wilhelm StannatProfessor für Stochastik, TU Berlin在 math.tu-berlin.de 的电子邮件经过验证
Carlo BellingeriPost-Doc Université de Lorraine在 universitadipavia.it 的电子邮件经过验证

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Peter K. Friz

Professor of Mathematics, TU and WIAS Berlin

在 math.tu-berlin.de 的电子邮件经过验证 - 首页

Stochastic Analysis Rough Analysis Applied Probability Data Science


标题按引用次数排序按年份排序按标题排序	引用次数引用次数	年份
Multidimensional stochastic processes as rough paths, volume 120 of Cambridge Studies in Advanced Mathematics PK Friz, NB Victoir Cambridge University Press, Cambridge, 2010	1090*	2010
A course on rough paths: With an Introduction to Regularity Structures PK Friz, M Hairer Springer International Publishing (2nd edition), 2020	950*	2020
Pricing under rough volatility C Bayer, P Friz, J Gatheral Quantitative Finance 16 (6), 887-904, 2016	538	2016
Differential equations driven by Gaussian signals P Friz, N Victoir Annales de l'IHP Probabilités et statistiques 46 (2), 369-413, 2010	149	2010
Regular variation and smile asymptotics S Benaim, P Friz Mathematical Finance: an International Journal of Mathematics, Statistics …, 2009	139	2009
Densities for Rough Differential Equations under Hoermander's Condition T Cass, P Friz Annals of Mathematics 171 (3), 2115-2141, 2010	125	2010
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations M Caruana, PK Friz, H Oberhauser Annales de l'Institut Henri Poincaré C, Analyse non linéaire 28 (1), 27-46, 2011	107	2011
Valuation of volatility derivatives as an inverse problem P Friz, J Gatheral Quantitative Finance 5 (6), 531-542, 2005	83	2005
Short-time near-the-money skew in rough fractional volatility models C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper Quantitative Finance 19 (5), 779-798, 2019	82	2019
Smile asymptotics II: models with known moment generating functions S Benaim, P Friz Journal of Applied Probability 45 (1), 16-32, 2008	82	2008
On refined volatility smile expansion in the Heston model P Friz, S Gerhold, A Gulisashvili, S Sturm Quantitative Finance 11 (8), 1151-1164, 2011	81	2011
Partial differential equations driven by rough paths M Caruana, P Friz Journal of Differential Equations 247 (1), 140-173, 2009	74	2009
A note on the notion of geometric rough paths P Friz, N Victoir Probability theory and related fields 136 (3), 395-416, 2006	74	2006
The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory PK Friz, B Gess, A Gulisashvili, S Riedel Annals of Probability 44 (1), 684-738, 2016	69	2016
Robust filtering: correlated noise and multidimensional observation D Crisan, J Diehl, PK Friz, H Oberhauser Annals of Applied Probability 23 (5), 2139-2160, 2013	69	2013
General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula PK Friz, A Shekhar Annals of Probability 45 (4), 2707-2765, 2017	68*	2017
Convergence rates for the full Gaussian rough paths P Friz, S Riedel Annales de l'IHP Probabilités et statistiques 50 (1), 154-194, 2014	68	2014
Non-degeneracy of Wiener functionals arising from rough differential equations T Cass, P Friz, N Victoir Transactions of the American Mathematical Society 361 (6), 3359-3371, 2009	68	2009
Approximations of the Brownian rough path with applications to stochastic analysis P Friz, N Victoir Annales de l'IHP Probabilités et statistiques 41 (4), 703-724, 2005	67	2005
Physical Brownian motion in magnetic field as rough path P Friz, P Gassiat, T Lyons Trans. Amer. Math. Soc. 367 (2015) 7939-7955., 2013	65	2013

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