World's Best Scientists 2026 revealed!

D-Index & Metrics

Mathematics

D-Index
45
Citations
7061
World Ranking
1499
National Ranking
84

Overview

Peter K. Friz is affiliated with the Technical University of Berlin in Germany. Their research spans across multiple domains primarily focused on the intersection of economics, finance, and mathematics. The main fields of study include Economics, Econometrics and Finance, and Mathematics, with emphasized subfields such as Finance, Mathematical Physics, Statistical and Nonlinear Physics, Computational Theory and Mathematics, and Applied Mathematics.

The scientist's main topics of work cover several areas, including:

  • Stochastic processes and financial applications
  • Financial Risk and Volatility Modeling
  • Stochastic processes and statistical mechanics
  • Insurance, Mortality, Demography, Risk Management
  • Complex Systems and Time Series Analysis
  • Mathematical Dynamics and Fractals
  • Advanced Mathematical Modeling in Engineering

Peter K. Friz has published extensively, with recent papers including:

  • Precise asymptotics: Robust stochastic volatility models, 2021, The Annals of Applied Probability
  • Short-dated smile under rough volatility: asymptotics and numerics, 2021, Quantitative Finance
  • Besov rough path analysis, 2022, Journal of Differential Equations
  • Unified signature cumulants and generalized Magnus expansions, 2022, Forum of Mathematics Sigma

The scientist frequently collaborates with several notable co-authors, among them:

  • Martin Hairer
  • Jim Gatheral
  • Christian Bayer
  • Paolo Pigato
  • Carlo Bellingeri

Publication venues where their work appears regularly include:

  • arXiv (Cornell University)
  • SSRN Electronic Journal
  • Mathematical Finance
  • The Annals of Applied Probability
  • Quantitative Finance

Peter K. Friz has contributed to academic literature beyond journal articles, including a book published by Springer Nature titled A Course on Rough Paths (2020), which has accumulated numerous citations.

Best Publications

  • Multidimensional Stochastic Processes as Rough Paths

    Peter K. Friz;Nicolas B. Victoir

  • A Course on Rough Paths

    Peter K. Friz;Martin Hairer

  • Pricing under rough volatility

    Christian Bayer;Peter K. Friz;Jim Gatheral

  • A Course on Rough Paths: With an Introduction to Regularity Structures

    Peter K. Friz;Martin Hairer

  • Analysis on local Dirichlet spaces

    Peter K. Friz;Nicolas B. Victoir

  • Differential equations driven by Gaussian signals

    Peter Friz;Nicolas Victoir

  • REGULAR VARIATION AND SMILE ASYMPTOTICS

    Shalom Benaim;Peter Friz

  • Densities for rough differential equations under Hormander's condition

    Thomas Cass;Peter Friz

  • A (rough) pathwise approach to a class of non-linear stochastic partial differential equations

    Michael Caruana;Peter K. Friz;Harald Oberhauser

  • A variation embedding theorem and applications

    Peter Friz;Nicolas Victoir

  • SMILE ASYMPTOTICS II: MODELS WITH KNOWN MOMENT GENERATING FUNCTIONS

    Shalom Benaim;Peter Friz

  • On refined volatility smile expansion in the Heston model

    Peter K. Friz;Stefan Gerhold;Archil Gulisashvili;Stephan Sturm

  • Valuation of volatility derivatives as an inverse problem

    Peter Friz;Jim Gatheral

  • Robust filtering: Correlated noise and multidimensional observation

    D. Crisan;J. Diehl;P. K. Friz;H. Oberhauser

  • Short-time near-the-money skew in rough fractional volatility models

    C Bayer;P K Friz;Archil Gulisashvili;Blanka Nora Horvath

  • A regularity structure for rough volatility

    Christian Bayer;Peter K. Friz;Paul Gassiat;Jorg Martin

  • 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

  • A note on the notion of geometric rough paths

    Peter Friz;Nicolas Victoir

  • Non-degeneracy of Wiener functionals arising from rough differential equations

    Thomas Cass;Thomas Cass;Peter Friz;Nicolas Victoir

  • Euler Estimates of Rough Differential Equations

    Peter Friz;Nicolas Victoir

  • Multidimensional Stochastic Processes as Rough Paths: Variation and Hölder spaces

    Peter K. Friz;Nicolas B. Victoir

Frequent Co-Authors

Martin Hairer
Martin Hairer Imperial College London
Pierre-Louis Lions
Pierre-Louis Lions Collège de France
Panagiotis E. Souganidis
Panagiotis E. Souganidis University of Chicago
Marco Avellaneda
Marco Avellaneda Courant Institute of Mathematical Sciences
Dan Crisan
Dan Crisan Imperial College London
Terry Lyons
Terry Lyons University of Oxford
Massimiliano Gubinelli
Massimiliano Gubinelli University of Oxford
Marc Yor
Marc Yor Sorbonne University
Igor Kukavica
Igor Kukavica University of Southern California
Ian Melbourne
Ian Melbourne University of Warwick

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