Peter Friz

Technische Universität Berlin (TU Berlin)

Straße des 17

Juni 135

Berlin, 10623

Germany

SCHOLARLY PAPERS

6

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5,138

SSRN CITATIONS
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Top 21,882

in Total Papers Citations

40

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Christian Bayer, Peter Friz and Jim Gatheral
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 4,438 (3,208)
Citation 35

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Fractional Brownian motion, volatility forecasting, option pricing, volatility surface, VIX, VVIX, variance swap curve, Flash Crash, Lehman Brothers collapse, Bergomi-Guyon expansion

2.

The Step Stochastic Volatility Model (SSVM)

Number of pages: 20 Posted: 04 Jun 2020
Peter Friz, Paolo Pigato and Jonathan Seibel
Technische Universität Berlin (TU Berlin), University of Rome Tor Vergata - Department of Economics and Finance and Munich Re
Downloads 336 (132,337)
Citation 1

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local stochastic volatility, implied volatility, implied skew, particle method

3.

How to Make Dupire's Local Volatility Work with Jumps

Number of pages: 7 Posted: 28 Feb 2013
Peter Friz, Stefan Gerhold and Marc Yor
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Universite Paris
Downloads 140 (297,216)
Citation 6

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Local volatility, Fokker-Planck equation, Levy processes

4.

Forests, Cumulants, Martingales

Annals of Probability 2022, Vol. 50, No. 4, 1418-1445.
Number of pages: 34 Posted: 30 Jun 2020 Last Revised: 12 May 2022
Peter Friz, Jim Gatheral and Rados Radoicic
Technische Universität Berlin (TU Berlin), CUNY Baruch College and CUNY Baruch College
Downloads 86 (415,195)

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forests, trees, continuous martingales, diamond product, cumulants, mo- ments, Hermite polynomials, regular perturbation, KPZ type (Wild) expansion, trees, Le ́vy area, Wiener chaos, Heston and forward variance models;

5.

Diamonds and Forward Variance Models

Number of pages: 20 Posted: 17 May 2022
Peter Friz and Jim Gatheral
Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 84 (421,085)

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Diamond product, forests, rough volatility, forward variance models

6.
Downloads 54 (529,344)
Citation 3

Option Pricing in the Moderate Deviations Regime

Number of pages: 20 Posted: 05 Apr 2016
Peter Friz, Stefan Gerhold and Arpad Pinter
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Vienna University of Technology
Downloads 51 (552,434)
Citation 3

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density expansions in small time, option pricing in small time, moderate deviations

Option Pricing in the Moderate Deviations Regime

Mathematical Finance, Vol. 28, Issue 3, pp. 962-988, 2018
Number of pages: 27 Posted: 14 Jun 2018
Peter Friz, Stefan Gerhold and Arpad Pinter
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Vienna University of Technology
Downloads 3 (946,733)

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asymptotics, implied volatility, moderate deviations, option pricing