| A regularity structure for rough volatility C Bayer, PK Friz, P Gassiat, J Martin, B Stemper Mathematical Finance 30 (3), 782-832, 2020 | 105 | 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 | 79 | 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 | 60 | 2017 |
| Precise asymptotics: Robust stochastic volatility models PK Friz, P Gassiat, P Pigato | 54 | 2021 |
| On the martingale property in the rough Bergomi model P Gassiat | 52 | 2019 |
| Regularization by noise for stochastic Hamilton–Jacobi equations P Gassiat, B Gess Probability Theory and Related Fields 173 (3), 1063-1098, 2019 | 43 | 2019 |
| Stochastic control with rough paths J Diehl, PK Friz, P Gassiat Applied Mathematics & Optimization 75 (2), 285-315, 2017 | 41 | 2017 |
| 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 | 41 | 2014 |
| 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 | 30 | 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 | 29 | 2015 |
| Weak error rates of numerical schemes for rough volatility P Gassiat SIAM Journal on Financial Mathematics 14 (2), 475-496, 2023 | 28 | 2023 |
| Short-dated smile under rough volatility: asymptotics and numerics PK Friz, P Gassiat, P Pigato Quantitative Finance 22 (3), 463-480, 2022 | 27 | 2022 |
| 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 | 24 | 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 (1), 421-448, 2020 | 17 | 2020 |
| Existence of densities for the dynamic model P Gassiat, C Labbé | 14 | 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 | 13 | 2017 |
| 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 | 12 | 2021 |
| 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 | 12 | 2011 |
Peter K. FrizProfessor of Mathematics, TU and WIAS BerlinVerified email at math.tu-berlin.de
