Peter K. Friz: publications and preprints
 Share
The version of the browser you are using is no longer supported. Please upgrade to a supported browser.Dismiss

View only
 
 
ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
See tabs below for accepted articles (-2019) and previous years (-2018);
for preprints see arXiv and/or Google Scholar
2
3
4
Year / MonthAuthorsTitleJournalWeblink (DOI)other internal info (WIAS themengebiet)funding info
5
2019Bayer, Friz, Gulisashvili, Horvath, StemperShort-time near-the-money skew in rough fractional volatility modelsQuantitative Finance, 19:5, 779-798,10.1080/14697688.2018.1529420anastochdiffERC CoG 683164,
DFG FR2943/2
@article{doi:10.1080/14697688.2018.1529420,
author = {C. Bayer and P. K. Friz and A. Gulisashvili and B. Horvath and B. Stemper},
title = {Short-time near-the-money skew in rough fractional volatility models},
journal = {Quantitative Finance},
volume = {19},
number = {5},
pages = {779-798},
year = {2019},
publisher = {Routledge},
doi = {10.1080/14697688.2018.1529420},

URL = {
https://doi.org/10.1080/14697688.2018.1529420

},
eprint = {
https://doi.org/10.1080/14697688.2018.1529420

}

}
6
2019Chevyrev, Friz Canonical RDEs and general semimartingales as rough pathsAnn. Probab.
Volume 47, Number 1 (2019), 420-463.
https://www.e-publications.org/ims/submission/AOP/user/submissionFile/31189?confirm=c6dcb81eanstochdiffERC CoG, FOR2402
7
2019Chevyrev, I., Friz, P. K., Korepanov, A., Melbourne, I., & Zhang, H.Multiscale systems, homogenization, and rough paths. Book Chapter in "Probability and Analysis in Interacting Physical Systems
In Honor of S.R.S. Varadhan, Berlin, August, 2016"Springer Proceedings in Mathematics & Statistics (2019)
https://www.springerprofessional.de/probability-and-analysis-in-interacting-physical-systems/16749082anstochdiffERC CoG, FOR2402\bibitem[CFK{\etalchar{+}}17]{Chevyrev2017}
Ilya Chevyrev, Peter~K Friz, Alexey Korepanov, Ian Melbourne, and Huilin Zhang.
\newblock Multiscale systems, homogenization, and rough paths.
\newblock {\em To appear in Springer Volume ``Varadhan 75'', arXiv preprint arXiv:1712.01343}, 2017.
8
2019Amendola, Friz, SturmfelsVarities of Signature TensorsForum of Mathematics, Sigma, 7, E10. doi:10.1017/fms.2019.3https://www.cambridge.org/core/journals/forum-of-mathematics-sigma/article/varieties-of-signature-tensors/53CCE644BC95B0F83EB458AADA72EEE5anstochdiffEuropean Research Council through Consolidator Grant 683164, the Einstein Foundation Berlin and DFG research unit FOR2402
9
2019 / 7Yvain Bruned, Ilya Chevyrev, Peter K. Friz, Rosa PreissA rough path perspective on renormalization Journal of Functional Analysis, Available online 31 July 2019, 108283https://doi.org/10.1016/j.jfa.2019.108283anstochdiffEuropean Research Council through Consolidator Grant 683164, the Einstein Foundation Berlin and DFG research unit FOR2402
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
Loading...