Søkt på: Bøker av Peter K. Friz
totalt 9 treff
Rough Volatility
Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with …
Large Deviations and Asymptotic Methods in Finance
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the …
A Course on Rough Paths
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 …
Course on Rough Paths
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. …
Large Deviations and Asymptotic Methods in Finance
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the …
Course on Rough Paths
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 …
Multidimensional Stochastic Processes as Rough Paths
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 …
Multidimensional Stochastic Processes as Rough Paths
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 …
Large Deviations and Asymptotic Methods in Finance
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the …