Követés
Christian Bayer
Cím
Hivatkozott rá
Hivatkozott rá
Év
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
6012016
The proof of Tchakaloff’s theorem
C Bayer, J Teichmann
Proceedings of the American mathematical society 134 (10), 3035-3040, 2006
1562006
On deep calibration of (rough) stochastic volatility models
C Bayer, B Horvath, A Muguruza, B Stemper, M Tomas
arXiv preprint arXiv:1908.08806, 2019
1042019
A regularity structure for rough volatility
C Bayer, PK Friz, P Gassiat, J Martin, B Stemper
Mathematical Finance 30 (3), 782-832, 2020
1002020
Short-time near-the-money skew in rough fractional volatility models
C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper
Quantitative Finance 19 (5), 779-798, 2019
862019
Large deviations and asymptotic methods in finance
PK Friz, J Gatheral, A Gulisashvili, A Jacquier, J Teichmann
Springer, 2015
562015
From rough path estimates to multilevel Monte Carlo
C Bayer, PK Friz, S Riedel, J Schoenmakers
SIAM Journal on Numerical Analysis 54 (3), 1449-1483, 2016
542016
Fast Ninomiya–Victoir calibration of the double-mean-reverting model
C Bayer, J Gatheral, M Karlsmark
Quantitative Finance 13 (11), 1813-1829, 2013
482013
Optimal stopping with signatures
C Bayer, PP Hager, S Riedel, J Schoenmakers
The Annals of Applied Probability 33 (1), 238-273, 2023
392023
Smoothing the payoff for efficient computation of basket option prices
C Bayer, M Siebenmorgen, R Tempone
Quantitative Finance 18 (3), 491-505, 2018
392018
A functional limit theorem for limit order books with state dependent price dynamics
C Bayer, U Horst, J Qiu
392017
Asymptotics beats Monte Carlo: The case of correlated local vol baskets
C Bayer, P Laurence
Communications on Pure and Applied Mathematics 67 (10), 1618-1657, 2014
392014
Markovian approximations of stochastic Volterra equations with the fractional kernel
C Bayer, S Breneis
Quantitative Finance 23 (1), 53-70, 2023
372023
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
C Bayer, C Ben Hammouda, R Tempone
Quantitative Finance 20 (9), 1457-1473, 2020
372020
Pricing American options by exercise rate optimization
C Bayer, R Tempone, S Wolfers
Quantitative Finance 20 (11), 1749-1760, 2020
332020
On nonasymptotic optimal stopping criteria in Monte Carlo simulations
C Bayer, H Hoel, E Von Schwerin, R Tempone
SIAM Journal on Scientific Computing 36 (2), A869-A885, 2014
332014
Pricing options under rough volatility with backward SPDEs
C Bayer, J Qiu, Y Yao
SIAM Journal on Financial Mathematics 13 (1), 179-212, 2022
322022
Cubature on Wiener space in infinite dimension
C Bayer, J Teichmann
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2008
312008
Semi-closed form cubature and applications to financial diffusion models
C Bayer, P Friz, R Loeffen
Quantitative Finance 13 (5), 769-782, 2013
292013
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
C Bayer, C Ben Hammouda, R Tempone
Quantitative Finance 23 (2), 209-227, 2023
272023
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