Christian Bayer

According to our database, Christian Bayer authored at least 19 papers between 2010 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of five.

2024

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities.

Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone

SIAM J. Sci. Comput., 2024

Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options.

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

CoRR, 2024

2023

Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats.

Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke

SIAM J. Financial Math., June, 2023

Stability of Deep Neural Networks via Discrete Rough Paths.

Christian Bayer, Peter K. Friz, Nikolas Tapia

SIAM J. Math. Data Sci., March, 2023

An Adaptive Algorithm for Rough Differential Equations.

Christian Bayer, Simon Breneis, Terry Lyons

CoRR, 2023

2022

Pricing Options under Rough Volatility with Backward SPDEs.

Christian Bayer, Jinniao Qiu, Yao Yao

SIAM J. Financial Math., 2022

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models.

Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara

SIAM J. Financial Math., 2022

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models.

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

CoRR, 2022

2021

Low-Dimensional Approximations of High-Dimensional Asset Price Models.

Martin Redmann, Christian Bayer, Pawan Goyal

SIAM J. Financial Math., 2021

Log-Modulated Rough Stochastic Volatility Models.

Christian Bayer, Fabian A. Harang, Paolo Pigato

SIAM J. Financial Math., 2021

Randomized Optimal Stopping Algorithms and Their Convergence Analysis.

Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers

SIAM J. Financial Math., 2021

Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing.

Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone

CoRR, 2021

2020

Reinforced optimal control.

Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny

CoRR, 2020

Weak error rates for option pricing under the rough Bergomi model.

Christian Bayer, Eric Joseph Hall, Raúl Tempone

CoRR, 2020

2018

Deep calibration of rough stochastic volatility models.

Christian Bayer, Benjamin Stemper

CoRR, 2018

2017

SDE Based Regression for Linear Random PDEs.

Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers

SIAM J. Sci. Comput., 2017

2016

From Rough Path Estimates to Multilevel Monte Carlo.

Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers

SIAM J. Numer. Anal., 2016

2014

On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations.

Christian Bayer, Håkon Hoel, Erik von Schwerin, Raúl Tempone

SIAM J. Sci. Comput., 2014

2010

Adaptive weak approximation of reflected and stopped diffusions.

Christian Bayer, Anders Szepessy, Raúl Tempone

Monte Carlo Methods Appl., 2010