Introduction to quasi-Monte Carlo integration and applications G Leobacher, F Pillichshammer
Springer International Publishing, 2014
224 2014 A strong order G Leobacher, M Szölgyenyi
82 2017 Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient G Leobacher, M Szölgyenyi
Numerische Mathematik 138, 219-239, 2018
74 2018 A numerical method for SDEs with discontinuous drift G Leobacher, M Szölgyenyi
BIT Numerical Mathematics 56 (1), 151-162, 2016
66 2016 On modelling and pricing rainfall derivatives with seasonality G Leobacher, P Ngare
Applied Mathematical Finance 18 (1), 71-91, 2011
63 2011 Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules J Baldeaux, J Dick, G Leobacher, D Nuyens, F Pillichshammer
Numerical Algorithms 59 (3), 403-431, 2012
60 2012 Integration in Hermite spaces of analytic functions C Irrgeher, P Kritzer, G Leobacher, F Pillichshammer
Journal of Complexity 31 (3), 380-404, 2015
50 2015 On the optimal order of integration in Hermite spaces with finite smoothness J Dick, C Irrgeher, G Leobacher, F Pillichshammer
SIAM Journal on Numerical Analysis 56 (2), 684-707, 2018
42 2018 Construction algorithms for digital nets with low weighted star discrepancy J Dick, G Leobacher, F Pillichshammer
SIAM journal on numerical analysis 43 (1), 76-95, 2005
37 2005 High-dimensional integration on Rd, weighted Hermite spaces, and orthogonal transforms C Irrgeher, G Leobacher
Journal of Complexity 31 (2), 174-205, 2015
36 2015 Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. G Leobacher
Monte Carlo Methods & Applications 12, 2006
32 2006 On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion G Leobacher, M Szölgyenyi, S Thonhauser
30 2015 Existence, uniqueness and regularity of the projection onto differentiable manifolds G Leobacher, A Steinicke
Annals of global analysis and geometry 60 (3), 559-587, 2021
28 2021 Fast orthogonal transforms and generation of Brownian paths G Leobacher
Journal of Complexity 28 (2), 278-302, 2012
24 2012 A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights J Dick, P Kritzer, G Leobacher, F Pillichshammer
Journal of Computational and Applied Mathematics 276, 1-15, 2015
23 2015 The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets LL Cristea, J Dick, G Leobacher, F Pillichshammer
Numerische Mathematik 105 (3), 413-455, 2007
23 2007 Quasi-Monte Carlo and Monte Carlo methods and their application in finance G Larcher, G Leobacher
Surveys on Mathematics for Industry 11 (1), 95-30, 2005
22 2005 On the tractability of the Brownian bridge algorithm G Larcher, G Leobacher, K Scheicher
Journal of Complexity 19 (4), 511-528, 2003
22 2003 A method for approximate inversion of the hyperbolic CDF G Leobacher, F Pillichshammer
Computing 69 (4), 291-303, 2002
22 2002 An optimal Strategy for Hedging with Short‐Term Futures Contracts G Larcher, G Leobacher
Mathematical Finance 13 (2), 331-344, 2003
20 2003 