55 citations · 684 across the 94 of their papers we have counts for
10 papers · 1 filter
Varadhan's formula, conditioned diffusions, and local volatilities
Stefano De Marco, Peter Friz
Motivated by marginals-mimicking results for Itô processes via SDEs and by their applications to volatility modeling in finance, we discuss the weak convergence of the law of a hyp…
Pathwise stability of likelihood estimators for diffusions via rough paths
Joscha Diehl, Peter Friz, Hilmar Mai
We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons),…
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
Peter K. Friz, Benjamin Gess, Archil Gulisashvili +1
We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical…
On the probability density function of baskets
Christian Bayer, Peter Friz, Peter Laurence
The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of log…
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
J. D. Deuschel, P. K. Friz, A. Jacquier +1
In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d…
From rough path estimates to multilevel Monte Carlo
Christian Bayer, Peter K. Friz, Sebastian Riedel +1
New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a…