Publications (38)
Don't stay local - extrapolation analytics for Dupire's local volatility
Peter Friz, Stefan Gerhold
Integrability of (non-)linear rough differential equations and integrals
Peter Friz, Sebastian Riedel
A Note on the Notion of Geometric Rough Paths
Peter Friz, Nicolas Victoir
Pathwise stability of likelihood estimators for diffusions via rough paths
Joscha Diehl, Peter Friz, Hilmar Mai
Differential Equations Driven by Gaussian Signals I
Peter Friz, Nicolas Victoir
Smile Asymptotics II: Models with Known Moment Generating Function
Shalom Benaim, Peter Friz
Stochastic control with rough paths
Joscha Diehl, Peter Friz, Paul Gassiat
Densities for Rough Differential Equations under Hoermander's Condition
Thomas Cass, Peter Friz
On Uniformly Subelliptic Operators and Stochastic Area
Peter Friz, Nicolas Victoir
On the probability density function of baskets
Christian Bayer, Peter Friz, Peter Laurence
General Rough integration, Levy Rough paths and a Levy--Kintchine type formula
Peter Friz, Atul Shekhar
A note on higher dimensional $p$-variation
Peter Friz, Nicolas Victoir
Convergence rates for the full Gaussian rough paths
Peter Friz, Sebastian Riedel
Regular Variation and Smile Asymptotics
Shalom Benaim, Peter Friz
Euler Estimates of Rough Differential Equations
Peter Friz, Nicolas Victoir
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Christian Bayer, Peter Friz, Ronnie Loeffen
On the splitting-up method for rough (partial) differential equations
Peter Friz, Harald Oberhauser
Option Pricing in the Moderate Deviations Regime
Peter Friz, Stefan Gerhold, Arpad Pinter
Backward stochastic differential equations with rough drivers
Joscha Diehl, Peter Friz
Physical Brownian motion in magnetic field as rough path
Peter Friz, Paul Gassiat, Terry Lyons
Good rough path sequences and applications to anticipating stochastic calculus
Laure Coutin, Peter Friz, Nicolas Victoir
The Burkholder-Davis-Gundy Inequality for Enhanced Martingales
Peter Friz, Nicolas Victoir
Doob--Meyer for rough paths
Peter Friz, Atul Shekhar
A generalized Fernique theorem and applications
Peter Friz, Harald Oberhauser
Isoperimetry and Rough Path Regularity
Peter Friz, Harald Oberhauser
From random walks to rough paths
Emmanuel Breuillard, Peter Friz, Martin Huesmann
Non-degeneracy of Wiener functionals arising from rough differential equations
Thomas Cass, Peter Friz, Nicolas Victoir
Rough path stability of (semi-)linear SPDEs
Peter Friz, Harald Oberhauser
Non-standard approximations of the Ito-map
Peter Friz, Harald Oberhauser
Partial differential equations driven by rough paths
Michael Caruana, Peter Friz
Approximations of the Brownian Rough Path with Applications to Stochastic Analysis
Peter Friz, Nicolas Victoir
Varadhan's formula, conditioned diffusions, and local volatilities
Stefano De Marco, Peter Friz
Differential Equations Driven by Gaussian Signals II
Peter Friz, Nicolas Victoir
Large Deviation Principle for Enhanced Gaussian Processes
Peter Friz, Nicolas Victoir
A Variation Embedding Theorem and Applications
Peter Friz, Nicolas Victoir
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Laure Coutin, Peter Friz, Nicolas Victoir
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
Michael Caruana, Peter Friz, Harald Oberhauser
Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck, Peter Friz, Stephan Sturm