Folgen
Christian Bayer
Titel
Zitiert von
Zitiert von
Jahr
Pricing under rough volatility
C Bayer, P Friz, J Gatheral
Quantitative Finance 16 (6), 887-904, 2016
4722016
The proof of Tchakaloff’s theorem
C Bayer, J Teichmann
Proceedings of the American mathematical society 134 (10), 3035-3040, 2006
1482006
On deep calibration of (rough) stochastic volatility models
C Bayer, B Horvath, A Muguruza, B Stemper, M Tomas
arXiv preprint arXiv:1908.08806, 2019
822019
A regularity structure for rough volatility
C Bayer, PK Friz, P Gassiat, J Martin, B Stemper
Mathematical Finance 30 (3), 782-832, 2020
772020
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
762019
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
492016
Large deviations and asymptotic methods in finance
PK Friz, J Gatheral, A Gulisashvili, A Jacquier, J Teichmann
Springer, 2015
492015
Fast Ninomiya–Victoir calibration of the double-mean-reverting model
C Bayer, J Gatheral, M Karlsmark
Quantitative Finance 13 (11), 1813-1829, 2013
432013
A functional limit theorem for limit order books with state dependent price dynamics
C Bayer, U Horst, J Qiu
382017
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
342014
Smoothing the payoff for efficient computation of basket option prices
C Bayer, M Siebenmorgen, R Tempone
Quantitative Finance 18 (3), 491-505, 2018
322018
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
322014
Cubature on Wiener space in infinite dimension
C Bayer, J Teichmann
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2008
302008
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
292020
Semi-closed form cubature and applications to financial diffusion models
C Bayer, P Friz, R Loeffen
Quantitative Finance 13 (5), 769-782, 2013
292013
Pricing American options by exercise rate optimization
C Bayer, R Tempone, S Wolfers
Quantitative Finance 20 (11), 1749-1760, 2020
282020
Simulation of forward-reverse stochastic representations for conditional diffusions
C Bayer, J Schoenmakers
232014
Adaptive weak approximation of reflected and stopped diffusions
C Bayer, A Szepessy, R Tempone
Walter de Gruyter GmbH & Co. KG 16 (1), 1-67, 2010
222010
Cubature on Wiener space: pathwise convergence
C Bayer, PK Friz
Applied Mathematics & Optimization 67 (2), 261-278, 2013
202013
Pricing options under rough volatility with backward SPDEs
C Bayer, J Qiu, Y Yao
SIAM Journal on Financial Mathematics 13 (1), 179-212, 2022
192022
Das System kann den Vorgang jetzt nicht ausführen. Versuchen Sie es später erneut.
Artikel 1–20