Prof. Dr. Peter K. Friz

Welcome! I am Professor in Mathematics at TU-Berlin, part of the Research Group: Probability Theory and Mathematical Finance.

I am also affiliated to the Weierstrass Institute for Applied Analysis and Stochastics; here is a Brief CV with research interests.

Most recent papers are available on the arXiv preprint server. You can also have a look at MathScinet (subscribers only ...)

Links for research admin and interested colleagues:

A list of my recent publications and preprints (2010-); for publications previous to 2010 click here.

A list of my recent seminar and conference activity (2010-); for selected activity previous to 2010 click here.

Here is a list of my recent teaching activity (WS 09/10 -).

Links for students:

WS 11-12: "Diff. Equ. for Probabilists"; click here for related information

WS 10-11: FiMaI; click here for related information.

Office hours: Mondays 14:30-15:30 (during the semester; else confirm by email)

Links for visitors:

I am located in room 704, 7th floor, in the Institute of Mathematics. You may want to look at a local Berlin map or see my

full contact details including mailing address.

RESEARCH

Stochastic analysis and rough path theory:

Rough path analysis allows for a fresh, if not revolutionary, view on Ito's important theory of stochastic differential equations. I taught rough path theory in

Cambridge, Columbia and TU-Wien (click here for a set of notes). I have also been acting as organizer for rough path meetings, e.g. as part of 5ECM or SPA09

or most recently SPDE10 at the Newton Institute.

My present research in this area is supported by an ERC Starting Grant (some info); past supporters include the Leverhulme Trust and EPSRC.

Quantitative finance:

The world of finance has become a major consumer of mathematics. In turn, it continues to provide us with good problems. Having spent more than a year on

Wall Street, I prefer financial mathematics with direct industry relevance. For instance, there is an ever-growing need for closed form approximate solutions

derived from various parts of asymptotic analysis. In recent work, we have used large deviations and Tauberian techniques to derive such formulae. I was invited

speaker at meetings such as the Quant Congress Europe or the Bachelier conference.

My present research in this area is supported by and MATHEON; past supporters include the Cambridge Endowment of Research in Finance.