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6 - 9 December 2021
Hotel ArtsBarcelona

Peter Friz
Professor of Mathematics at TU Berlin, Weierstraß-Institut Berlin


Peter K. Friz is presently full professor at TU and WIAS Berlin. After studies in Vienna, Paris and Trinity College, Cambridge, he obtained his PhD under the supervision of S.R.S. Varadhan at the Courant Institute of New York University. In 2003-04 he worked for Merrill Lynch, New York, before returning to academia where he then held a Readership at Cambridge University until his move to Berlin in 2009. PKF has written numerous papers in the broad area of quantitative finance, partial differential equations, stochastic analysis and two highly regarded books on applications of rough paths theory: "Multidimensional Stochastic Processes as Rough Paths" (with N. Victoir, Cambridge University Press 2010), "A Course on Rough Paths, with an Introduction to Regularity Structures" (with Fields Medalist M. Hairer, Springer 2014). In 2015 he co-edited a volume on Large Deviations and Asymptotic Methods in Finance.

Agenda Sessions

  • Local volatility under rough volatility