The following pages link to Peter K. Friz (Q166109):
Displayed 50 items.
- Approximations of the Brownian rough path with applications to stochastic analysis (Q2485743) (← links)
- Lévy's area under conditioning (Q2490108) (← links)
- A note on the notion of geometric rough paths (Q2509001) (← links)
- Pathwise McKean-Vlasov theory with additive noise (Q2657942) (← links)
- From Rough Path Estimates to Multilevel Monte Carlo (Q2807285) (← links)
- Physical Brownian motion in a magnetic field as a rough path (Q2944921) (← links)
- (Q2973952) (← links)
- Is the Minimum Value of an Option on Variance Generated by Local Volatility? (Q2996523) (← links)
- A generalized Fernique theorem and applications (Q3053513) (← links)
- From random walks to rough paths (Q3182587) (← links)
- Valuation of volatility derivatives as an inverse problem (Q3375397) (← links)
- Multidimensional Stochastic Processes as Rough Paths (Q3407274) (← links)
- (Q3526646) (← links)
- REGULAR VARIATION AND SMILE ASYMPTOTICS (Q3608732) (← links)
- Non-degeneracy of Wiener functionals arising from rough differential equations (Q3629400) (← links)
- Extrapolation Analytics for Dupire’s Local Volatility (Q4560335) (← links)
- On the Probability Density Function of Baskets (Q4560341) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Option pricing in the moderate deviations regime (Q4581294) (← links)
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac (Q4609679) (← links)
- VARIETIES OF SIGNATURE TENSORS (Q4632524) (← links)
- ON THE REGULARITY OF SLE TRACE (Q4635498) (← links)
- Rough path metrics on a Besov–Nikolskii-type scale (Q4691083) (← links)
- Integrability of (Non-)Linear Rough Differential Equations and Integrals (Q4916960) (← links)
- Pricing under rough volatility (Q5001177) (← links)
- Singular paths spaces and applications (Q5046316) (← links)
- A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries (Q5071215) (← links)
- Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- How to make Dupire’s local volatility work with jumps (Q5245895) (← links)
- Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs (Q5256558) (← links)
- (Q5290444) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited (Q5374161) (← links)
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
- Smile Asymptotics II: Models with Known Moment Generating Functions (Q5459905) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Doob--Meyer for rough paths (Q5747108) (← links)
- A regularity structure for rough volatility (Q5855942) (← links)
- Unified signature cumulants and generalized Magnus expansions (Q5866307) (← links)
- Stability of Deep Neural Networks via Discrete Rough Paths (Q5885832) (← links)
- A course on rough paths. With an introduction to regularity structures (Q5918884) (← links)
- A course on rough paths. With an introduction to regularity structures (Q5920676) (← links)
- Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values (Q5927618) (← links)
- Nodal parametrisation of analytic attractors (Q5936439) (← links)
- Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
- Rough semimartingales and \(p\)-variation estimates for martingale transforms (Q6160455) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values (Q6205953) (← links)