Friz, P. K.
- The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
2006/04/13 by Thomas Cass, Cass, T. R., Peter K. Friz +1 · 1 citation
Economics, Econometrics and Finance · #60H30 #60J75 #62P05 #91B28 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- Support theorem for a singular semilinear stochastic partial differential equation
2014/09/15 by Khalil Chouk, Peter K. Friz, Chouk, K. +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · Computer Science · #Stochastic processes and financial applications #Numerical methods in inverse problems #Advanced Mathematical Modeling in Engineering