Peter K. Friz – författare
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8 produkter
Rough Volatility
Av Christian Bayer, Peter K. Friz m. fl.
Häftad, 2024
1034 kr
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Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, …
Course on Rough Paths
With an Introduction to Regularity Structures
Av Peter K. Friz, Martin Hairer
Häftad, 2020
660 kr
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With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most …
Multidimensional Stochastic Processes as Rough Paths
Theory and Applications
Av Peter K. Friz, Nicolas B. Victoir
Inbunden, 2010
3,0 utav 5 stjärnor. Totalt antal röster: (1)
1612 kr
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Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with …
Course on Rough Paths
With an Introduction to Regularity Structures
Av Martin Hairer, Peter K. Friz
E-bok, 2020
815 kr
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With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most …
Course on Rough Paths
With an Introduction to Regularity Structures
Av Martin Hairer, Peter K. Friz
E-bok, 2014
877 kr
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Lyons’ rough path analysis has provided new insights in the analysis of stochastic differential equations and stochastic partial differential equations, such as the KPZ equation. This textbook presents the first thorough and easily accessible introduction to rough path analysis. When applied to …
Large Deviations and Asymptotic Methods in Finance
Av Peter K. Friz, Jim Gatheral m. fl.
Inbunden, 2015
1643 kr
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Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and …
Large Deviations and Asymptotic Methods in Finance
Av Josef Teichmann, Antoine Jacquier m. fl.
E-bok, 2015
2111 kr
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Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and …
Large Deviations and Asymptotic Methods in Finance
Av Peter K. Friz, Jim Gatheral m. fl.
Häftad, 2016
1643 kr
Lägg i varukorg
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and …
