A regularity structure for rough volatility C Bayer, PK Friz, P Gassiat, J Martin, B Stemper
Mathematical Finance 30 (3), 782-832, 2020
95 2020 Physical Brownian motion in a magnetic field as a rough path P Friz, P Gassiat, T Lyons
Transactions of the American Mathematical Society 367 (11), 7939-7955, 2015
66 2015 Malliavin calculus for regularity structures: the case of gPAM G Cannizzaro, PK Friz, P Gassiat
Journal of Functional Analysis 272 (1), 363-419, 2017
54 2017 Precise asymptotics: Robust stochastic volatility models PK Friz, P Gassiat, P Pigato
45 2021 Regularization by noise for stochastic Hamilton–Jacobi equations P Gassiat, B Gess
Probability Theory and Related Fields 173 (3), 1063-1098, 2019
40 2019 On the martingale property in the rough Bergomi model P Gassiat
37 2019 Investment/consumption problem in illiquid markets with regime-switching P Gassiat, F Gozzi, H Pham
SIAM Journal on Control and Optimization 52 (3), 1761-1786, 2014
34 2014 Stochastic control with rough paths J Diehl, PK Friz, P Gassiat
Applied Mathematics & Optimization 75, 285-315, 2017
30 2017 Eikonal equations and pathwise solutions to fully non-linear SPDEs PK Friz, P Gassiat, PL Lions, PE Souganidis
Stochastics and Partial Differential Equations: Analysis and Computations 5 …, 2017
29 2017 Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs P Gassiat, H Oberhauser, G Dos Reis
Stochastic Processes and their Applications 125 (12), 4601-4631, 2015
28 2015 Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation S Federico, P Gassiat, F Gozzi
Finance and Stochastics 19 (2), 415-448, 2015
22 2015 Time discretization and quantization methods for optimal multiple switching problem P Gassiat, I Kharroubi, H Pham
Stochastic Processes and their Applications 122 (5), 2019-2052, 2012
19 2012 An integral equation for Root's barrier and the generation of Brownian increments P Gassiat, A Mijatović, H Oberhauser
The Annals of Applied Probability, 2039-2065, 2015
18 2015 Speed of propagation for Hamilton–Jacobi equations with multiplicative rough time dependence and convex Hamiltonians P Gassiat, B Gess, PL Lions, PE Souganidis
Probability Theory and Related Fields 176, 421-448, 2020
16 2020 Weak error rates of numerical schemes for rough volatility P Gassiat
SIAM Journal on Financial Mathematics 14 (2), 475-496, 2023
15 2023 Short-dated smile under rough volatility: asymptotics and numerics PK Friz, P Gassiat, P Pigato
Quantitative Finance 22 (3), 463-480, 2022
15 2022 Existence of densities for the dynamic P Gassiat, C Labbé
12 2020 Impact of time illiquidity in a mixed market without full observation S Federico, P Gassiat, F Gozzi
Mathematical Finance 27 (2), 401-437, 2017
12 2017 Optimal investment on finite horizon with random discrete order flow in illiquid markets P Gassiat, H Pham, M Sirbu
International Journal of Theoretical and Applied Finance 14 (01), 17-40, 2011
11 2011 A free boundary characterisation of the Root barrier for Markov processes P Gassiat, H Oberhauser, CZ Zou
Probability Theory and Related Fields 180 (1), 33-69, 2021
10 2021 
Peter K. FrizProfessor of Mathematics, TU and WIAS BerlinBestätigte E-Mail-Adresse bei math.tu-berlin.de
