Adaptive weak approximation of reflected and stopped diffusions. - Christian Bayer 001; Anders Szepessy; Raúl Tempone (Monte Carlo Methods Appl., 2010)

On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations. - Christian Bayer 001; Håkon Hoel; Erik von Schwerin; Raúl Tempone (SIAM J. Sci. Comput., 2014)

From Rough Path Estimates to Multilevel Monte Carlo. - Christian Bayer 001; Peter K. Friz; Sebastian Riedel 003; John Schoenmakers (SIAM J. Numer. Anal., 2016)

SDE Based Regression for Linear Random PDEs. - Felix Anker; Christian Bayer 001; Martin Eigel; Marcel Ladkau; Johannes Neumann; John Schoenmakers (SIAM J. Sci. Comput., 2017)

Deep calibration of rough stochastic volatility models. - Christian Bayer 001; Benjamin Stemper (CoRR, 2018)

Weak error rates for option pricing under the rough Bergomi model. - Christian Bayer 001; Eric Joseph Hall; Raúl Tempone (CoRR, 2020)

Reinforced optimal control. - Christian Bayer 001; Denis Belomestny; Paul Hager; Paolo Pigato; John Schoenmakers; Vladimir G. Spokoiny (CoRR, 2020)

Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. - Christian Bayer 001; Chiheb Ben Hammouda; Raúl Tempone (CoRR, 2021)

Randomized Optimal Stopping Algorithms and Their Convergence Analysis. - Christian Bayer 001; Denis Belomestny; Paul Hager; Paolo Pigato; John Schoenmakers (SIAM J. Financial Math., 2021)

Log-Modulated Rough Stochastic Volatility Models. - Christian Bayer 001; Fabian A. Harang; Paolo Pigato (SIAM J. Financial Math., 2021)

Low-Dimensional Approximations of High-Dimensional Asset Price Models. - Martin Redmann; Christian Bayer 001; Pawan Goyal 003 (SIAM J. Financial Math., 2021)

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. - Christian Bayer 001; Chiheb Ben Hammouda; Antonis Papapantoleon; Michael Samet; Raúl Tempone (CoRR, 2022)

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. - Christian Bayer 001; Masaaki Fukasawa; Shonosuke Nakahara (SIAM J. Financial Math., 2022)

Pricing Options under Rough Volatility with Backward SPDEs. - Christian Bayer 001; Jinniao Qiu; Yao Yao (SIAM J. Financial Math., 2022)

An Adaptive Algorithm for Rough Differential Equations. - Christian Bayer 001; Simon Breneis; Terry Lyons (CoRR, 2023)

Stability of Deep Neural Networks via Discrete Rough Paths. - Christian Bayer 001; Peter K. Friz; Nikolas Tapia (SIAM J. Math. Data Sci., 2023)

Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. - Christian Bayer 001; Martin Eigel; Leon Sallandt; Philipp Trunschke (SIAM J. Financial Math., 2023)

Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. - Christian Bayer 001; Chiheb Ben Hammouda; Antonis Papapantoleon; Michael Samet; Raúl Tempone (CoRR, 2024)

Dimension reduction for path signatures. - Christian Bayer 001; Martin Redmann (CoRR, 2024)

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. - Christian Bayer 001; Chiheb Ben Hammouda; Raúl Tempone (SIAM J. Sci. Comput., 2024)