WIAS Preprint List: Friz, Peter

• 3034: Bank, Peter; Bayer, Christian; Friz, Peter; Pelizzari, Luca
  Rough PDEs for local stochastic volatility models
  Appeared in: Math. Finance, published online on 26.01.2025, DOI 10.1111/mafi.12458 .
• 2814: Friz, Peter; Hager, Paul; Tapia, Nikolas
  Unified signature cumulants and generalized Magnus expansions
  Appeared in: Forum Math. Sigma, 10 (2022), pp. e42/1--e42/60, DOI 10.1017/fms.2022.20 .
• 2732: Bayer, Christian; Friz, Peter; Tapia, Nikolas
  Stability of deep neural networks via discrete rough paths
  Appeared in: SIAM J. Math. Data Sci., 5 (2023), pp. 50--76, DOI 10.1137/22M1472358 .
• 2696: Bellinger, Carlo; Djurdjevac, Ana; Friz, Peter; Tapia, Nikolas
  Transport and continuity equations with (very) rough noise
  Appeared in: SN Partial Differ. Equ. Appl., 2 (2021), pp. 2--26, DOI 10.1007/s42985-021-00101-y .
• 2618: Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter; Maurelli, Mario
  Pathwise McKean--Vlasov theory with additive noise
  Appeared in: Ann. Appl. Probab., 30 (2020), pp. 2355--2392, DOI 10.1214/20-AAP1560 .
• 2406: Bayer, Christian; Friz, Peter; Gulisashvili, Archil; Horvath, Blanka; Stemper, Benjamin
  Short-time near-the-money skew in rough fractional volatility models
  Appeared in: Quant. Finance, 19 (2019), pp. 779--798 (published online on 13.11.2018), DOI 10.1080/14697688.2018.1529420 .
• 2329: Dreyer, Wolfgang; Friz, Peter; Gajewski, Paul; Guhlke, Clemens; Maurelli, Mario
  Stochastic model for LFP-electrodes
  Appeared in: Cont. Mech. Thermodyn., 30:3 (2018) pp. 593--628, changed title: Stochastic many-particle model for LFP electrodes
• 2071: Bayer, Christian; Friz, Peter; Gatheral, Jim
  Pricing under rough volatility
  Appeared in: Quant. Finance, 16 (2016) pp. 887--904.
• 1866: Diehl, Joscha; Friz, Peter; Mai, Hilmar
  Pathwise stability of likelihood estimators for diffusions via rough paths
  Appeared in: The Annals of Probalility, 26(2016) pp. 2169--2192
• 1796: Bayer, Christian; Friz, Peter; Laurence, Peter
  On the probability density function of baskets
  
• 1787: Bayer, Christian; Friz, Peter; Riedel, Sebastian; Schoenmakers, John G. M.
  From rough path estimates to multilevel Monte Carlo
  Appeared in: SIAM J. Numer. Anal., 54 (2016) pp. 1449--1483.