Peter Friz

Q: What Schools Are Affiliated With Peter Friz

Peter Friz is affiliated with the following schools: TU Wien, Technical University of Berlin, New York University, University of Cambridge

Peter Friz's AcademicInfluence.com Rankings

Peter Friz

Mathematics

#6479

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#8961

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Measure Theory

#2726

World Rank

#3256

Historical Rank

mathematics Degrees

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Mathematics

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According to Wikipedia, Peter K. Friz is a mathematician working in the fields of partial differential equations, quantitative finance, and stochastic analysis. Education and career He studied at the Vienna University of Technology, Ecole Centrale Paris, University of Cambridge and Courant Institute of Mathematical Sciences , and obtained his PhD in 2004 under the supervision of S. R. Srinivasa Varadhan.

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Peter Friz's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (2010) (472)
A Course on Rough Paths (2020) (369)
Pricing under rough volatility (2015) (337)
Multidimensional Stochastic Processes as Rough Paths: Variation and Hölder spaces on free groups (2010) (306)
A Course on Rough Paths: With an Introduction to Regularity Structures (2014) (292)
Analysis on local Dirichlet spaces (2010) (281)
Multidimensional Stochastic Processes as Rough Paths by Peter K. Friz (2010) (153)
Densities for rough differential equations under Hormander's condition (2007) (140)
Differential equations driven by Gaussian signals (2007) (127)
REGULAR VARIATION AND SMILE ASYMPTOTICS (2006) (119)
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations (2009) (96)
A note on the notion of geometric rough paths (2004) (75)
SMILE ASYMPTOTICS II: MODELS WITH KNOWN MOMENT GENERATING FUNCTIONS (2006) (71)
Approximations of the Brownian rough path with applications to stochastic analysis (2003) (70)
An Introduction to Malliavin Calculus (2002) (69)
Euler estimates for rough differential equations (2006) (66)
Partial differential equations driven by rough paths (2008) (66)
Robust filtering: Correlated noise and multidimensional observation (2012) (63)
Non-degeneracy of Wiener functionals arising from rough differential equations (2007) (62)
Short-time near-the-money skew in rough fractional volatility models (2017) (58)
Physical Brownian motion in a magnetic field as a rough path (2013) (58)
Convergence rates for the full Gaussian rough paths (2011) (57)
Valuation of volatility derivatives as an inverse problem (2005) (57)
Rough path limits of the Wong–Zakai type with a modified drift term (2009) (57)
On refined volatility smile expansion in the Heston model (2010) (54)
A variation embedding theorem and applications (2005) (54)
Large Deviations and Asymptotic Methods in Finance (2015) (54)
A regularity structure for rough volatility (2017) (53)
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (2011) (53)
General Rough integration, Levy Rough paths and a Levy--Kintchine type formula (2012) (52)
From Rough Path Estimates to Multilevel Monte Carlo (2013) (47)
On Black‐Scholes Implied Volatility at Extreme Strikes (2012) (46)
The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory (2013) (46)
Differential equations driven by rough paths with jumps (2017) (45)
Continuity of the Ito-Map for Hoelder rough paths with applications to the support theorem in Hoelder norm (2003) (44)
Integrability of (Non-)Linear Rough Differential Equations and Integrals (2011) (44)
Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values (2001) (41)
Backward stochastic differential equations with rough drivers (2010) (40)
Malliavin Calculus for regularity structures: the case of gPAM (2015) (39)
Canonical RDEs and general semimartingales as rough paths (2017) (39)
A rough path perspective on renormalization (2017) (39)
Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (2014) (38)
Rough path stability of (semi-)linear SPDEs (2010) (37)
Application of large deviation methods to the pricing of index options in finance (2003) (36)
A generalized Fernique theorem and applications (2010) (34)
Multidimensional Stochastic Processes as Rough Paths: Free nilpotent groups (2010) (33)
Multiscale Systems, Homogenization, and Rough Paths (2016) (33)
From random walks to rough paths (2008) (32)
A Note on Higher Dimensional p-Variation (2011) (29)
Option pricing in the moderate deviations regime (2016) (29)
Precise asymptotics: Robust stochastic volatility models (2018) (28)
On uniformly subelliptic operators and stochastic area (2006) (27)
Good rough path sequences and applications to anticipating stochastic calculus (2007) (27)
Eikonal equations and pathwise solutions to fully non-linear SPDEs (2016) (27)
Moment Explosions in Stochastic Volatility Models (2010) (25)
Lévy's area under conditioning (2006) (25)
On the splitting-up method for rough (partial) differential equations (2010) (25)
Stochastic scalar conservation laws driven by rough paths (2014) (24)
On the existence of SLE trace: finite energy drivers and non-constant $$\kappa $$κ (2015) (24)
Differential Equations Driven by Gaussian Signals II (2007) (23)
Semi-closed form cubature and applications to financial diffusion models (2010) (22)
Probability and Analysis in Interacting Physical Systems (2019) (22)
Doob--Meyer for rough paths (2012) (22)
Multidimensional Stochastic Processes as Rough Paths: Markov processes (2010) (22)
Pathwise McKean–Vlasov theory with additive noise (2020) (21)
How to make Dupire’s local volatility work with jumps¶ (2013) (20)
The Burkholder-Davis-Gundy Inequality for Enhanced Martingales (2006) (20)
The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance (2006) (20)
Smooth Attractors Have Zero “Thickness”☆ (1999) (19)
Large Deviation Principle for Enhanced Gaussian Processes (2005) (18)
Stochastic partial differential equations: a rough path view (2014) (18)
Nodal parametrisation of analytic attractors (2001) (17)
Stochastic many-particle model for LFP electrodes (2018) (17)
VARIETIES OF SIGNATURE TENSORS (2018) (16)
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus (2005) (16)
The enhanced Sanov theorem and propagation of chaos (2016) (15)
Jain-Monrad criterion for rough paths and applications (2013) (15)
Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac (2017) (15)
Superdiffusive limits for deterministic fast–slow dynamical systems (2019) (14)
Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited (2014) (14)
Multidimensional Stochastic Processes as Rough Paths: References (2010) (14)
Stochastic control with rough paths (2013) (14)
Rough path stability of SPDEs arising in non-linear filtering (2010) (12)
ON THE REGULARITY OF SLE TRACE (2016) (12)
Examples of renormalized SDEs (2016) (12)
Singular paths spaces and applications (2020) (12)
Rough stochastic differential equations (2021) (12)
On the probability density function of baskets (2013) (11)
The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo methods in finance (2006) (11)
Cubature on Wiener Space: Pathwise Convergence (2013) (11)
Short-dated smile under rough volatility: asymptotics and numerics (2020) (11)
Pathwise stability of likelihood estimators for diffusions via rough paths (2013) (11)
Deterministic homogenization under optimal moment assumptions for fast-slow systems. Part 1 (2019) (11)
Support theorem for a singular SPDE: The case of gPAM (2018) (10)
Parabolic comparison revisited and applications (2011) (10)
Deterministic homogenization for discrete-time fast-slow systems under optimal moment assumptions (2019) (9)
Rough path metrics on a Besov–Nikolskii-type scale (2016) (9)
Regularity of SLE in ( t , κ ) and refined GRR estimates. (2019) (8)
Extrapolation Analytics for Dupire’s Local Volatility (2015) (8)
Rough semimartingales and p-variation estimates for martingale transforms (2020) (8)
A (ROUGH) PATHWISE APPROACH TO FULLY NON-LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS (2009) (8)
PATHWISE MCKEAN-VLASOV THEORY (2018) (7)
Unified signature cumulants and generalized Magnus expansions (2021) (7)
Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows (2011) (7)
Fractional volatility models (2014) (6)
Malliavin calculus and rough paths (2011) (6)
Transport and continuity equations with (very) rough noise (2020) (6)
Existence, uniqueness and stability of semi-linear rough partial differential equations (2018) (5)
Multidimensional Stochastic Processes as Rough Paths: Introduction (2010) (5)
Support theorem for a singular semilinear stochastic partial differential equation (2014) (5)
Isoperimetry and Rough Path Regularity (2007) (5)
Continuity of the Itô-map for Hölder rough path with applications to the Support Theorem in Hölder norm (To appear at (5)
Jain-Monrad criterion for rough paths (2013) (4)
Local Volatility, Conditioned Diffusions, and Varadhan's Formula (2018) (4)
Don't stay local - extrapolation analytics for Dupire's local volatility (2011) (4)
Integrability of linear rough differential equations (2011) (4)
Varadhan's formula, conditioned diffusions, and local volatilities (2013) (4)
Besov rough path analysis (2021) (4)
Regularity of the Schramm-Loewner field and refined Garsia-Rodemich-Rumsey estimates (2019) (4)
Precise Laplace asymptotics for singular stochastic PDEs: The case of 2D gPAM (2021) (4)
Spatial rough path lifts of stochastic convolutions (2012) (4)
The Step Stochastic Volatility Model (SSVM) (2020) (3)
On the Variational Regularity of Cameron-Martin paths (2013) (3)
Local volatility under rough volatility (2022) (3)
Constructing an Elementary Measure on a Space of Projections (2002) (3)
Stability of Deep Neural Networks via discrete rough paths (2022) (3)
Integrability of linear rough differential equations (and moment estimates for iterated integrals of Gaussian processes) (2011) (3)
Smooth Rough Paths, Their Geometry and Algebraic Renormalization (2021) (3)
Multidimensional Stochastic Processes as Rough Paths: Riemann–Stieltjes integration (2010) (3)
A McKean-Vlasov SDE and Particle System with Interaction from Reflecting Boundaries (2021) (2)
Implied Volatility: Large Strike Asymptotics (2010) (2)
Stochastic model for LFP-electrodes (2016) (2)
Weak error estimates for rough volatility models (2022) (2)
Is the Minimum Value of an Option on Variance Generated by Local Volatility? (2010) (2)
Non-standard approximations of the Ito-map (2008) (2)
Rough path stability of (semi-)linear SPDEs (2013) (1)
Geometric foundations of rough paths (2016) (1)
Cumulants and Martingales (2020) (1)
Forests, Cumulants, Martingales (2020) (1)
Diamonds and forward variance models (2022) (1)
ar X iv : 1 30 5 . 67 65 v 1 [ m at h . PR ] 2 9 M ay 2 01 3 Marginal density expansions for diffusions and stochastic volatility , part II : Applications (2013) (1)
Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs (2014) (1)
Rational shapes of local volatility The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management (2013) (1)
Almost sure diffusion approximation in averaging via rough paths theory (2021) (1)
Stochastic integration and Itô’s formula (2019) (1)
Stochastic differential equations and stochastic flows (2010) (0)
Cameron–Martin regularity and applications (2020) (0)
Integration against rough paths (2020) (0)
Geometric rough path spaces (2010) (0)
Brownian motion as a rough path (2020) (0)
Support theorem and large deviations (2010) (0)
Fe b 20 06 Euler Estimates for Rough Differential Equations (2006) (0)
Multidimensional Stochastic Processes as Rough Paths: ODEs: smoothness (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Sample path regularity and related topics (2010) (0)
Reconstructing volatility: Pricing of index options under rough volatility (2022) (0)
Solutions to rough differential equations (2020) (0)
Operations on modelled distributions (2020) (0)
Equity derivatives l Cutting edge Reconstructing volatility (0)
Gaussian rough paths (2020) (0)
POS-746 ROLE OF TELENEPHROLOGY IN THE MANAGEMENT OF CKD STAGES 4-5 (NO DIALYSIS) PATIENTS DURING THE COVID-19 PANDEMIC (2022) (0)
Multidimensional Stochastic Processes as Rough Paths: The story in a nutshell (2010) (0)
Regularity of SLE in \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(t,\kappa )$$\end{document}(t,κ) and refined GRR (2021) (0)
Multidimensional Stochastic Processes as Rough Paths: Banach calculus (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: RDEs with drift and other topics (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: RDEs: smoothness (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Frequently used notation (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Large deviations (2010) (0)
New Directions in Rough Path Theory (2021) (0)
A ug 2 00 3 Approximations of the Brownian Rough Path with Applications to Stochastic Analysis . Des Approximations du Rough Path Brownien et Applications à l ’ Analyse Stochastique (2008) (0)
Mathematics of Quantitative Finance (2018) (0)
Ju l 2 01 9 A rough path perspective on renormalization (2019) (0)
Rough Paths, Regularity Structures and Related Topics (2016) (0)
Multidimensional Stochastic Processes as Rough Paths: Continuous paths of bounded variation (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Ordinary differential equations (2010) (0)
On the existence of SLE trace: finite energy drivers and non-constant κ\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$ (2016) (0)
Edinburgh Research Explorer Examples of renormalized SDEs (2018) (0)
Cubature on Wiener Space: Pathwise Convergence (2012) (0)
ec 2 00 5 LARGE DEVIATION PRINCIPLE FOR ENHANCED GAUSSIAN PROCESSES (2005) (0)
Multidimensional Stochastic Processes as Rough Paths: Gaussian analysis (2010) (0)
Stochastic partial differential equations (2020) (0)
Application to the KPZ equation (2020) (0)
Some Geometric Aspects in Diffusion Theory (2002) (0)
Stochastic differential equations (2020) (0)
Multidimensional Stochastic Processes as Rough Paths: Variation and Hölder spaces (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Rough differential equations (2010) (0)
Eikonal equations and pathwise solutions to fully non-linear SPDEs (2016) (0)
The space of rough paths (2020) (0)
Introduction (2020) (0)
Behaviour of cattle grazing in Murgia, Apulia. (1998) (0)
Ethnological Observations of Cattle on Summer Alpine Pastures of Trentino Alto Adige (Italy) (1996) (0)
Stochastic control with rough paths (2016) (0)
Stochastic Taylor expansions (2010) (0)
ov 2 00 7 On Uniformly Subelliptic Operators and Stochastic Area (1997) (0)
Stochastic many-particle model for LFP electrodes (2018) (0)
Multidimensional Stochastic Processes as Rough Paths: Continuous (semi-)martingales (2010) (0)
Operations on controlled rough paths (2020) (0)
0-Multidimensional Stochastic Processes as Rough Paths : Theory and Applications (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Brownian motion (2010) (0)
A ug 2 00 6 On Uniformly Subelliptic Operators and Stochastic Area (2006) (0)
Edinburgh Research Explorer Multiscale Systems, Homogenization, and Rough Paths (2019) (0)
Paths to, from and in renormalization At the confluence of rough paths, algebra, analysis and geometry (2016) (0)
Rough Paths and PDEs (2012) (0)
Doob–Meyer type decomposition for rough paths (2014) (0)
Multidimensional Stochastic Processes as Rough Paths: Young integration (2010) (0)
Multidimensional Stochastic Processes as Rough Paths: Malliavin calculus for RDEs (2010) (0)

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What Schools Are Affiliated With Peter Friz?

Peter Friz is affiliated with the following schools: