Christian Bayer

Publication Activity (10 Years)

Years Active: 2010-2024
Publications (10 Years): 22

Top Topics

Monte Carlo Methods

Convergence Analysis

Top Venues

SIAM J. Financial Math.

SIAM J. Sci. Comput.

SIAM J. Numer. Anal.

Publications

Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. SIAM J. Sci. Comput. 46 (3) (2024)
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. CoRR (2024)
Christian Bayer, Simon Breneis, Terry Lyons
An Adaptive Algorithm for Rough Differential Equations. CoRR (2023)
Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math. 14 (2) (2023)
Christian Bayer, Peter K. Friz, Nikolas Tapia
Stability of Deep Neural Networks via Discrete Rough Paths. SIAM J. Math. Data Sci. 5 (1) (2023)
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. CoRR (2022)
Christian Bayer, Peter K. Friz, Nikolas Tapia
Stability of Deep Neural Networks via discrete rough paths. CoRR (2022)
Christian Bayer, Jinniao Qiu, Yao Yao
Pricing Options under Rough Volatility with Backward SPDEs. SIAM J. Financial Math. 13 (1) (2022)
Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. SIAM J. Financial Math. 13 (2) (2022)
Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. CoRR (2021)
Christian Bayer, Fabian A. Harang, Paolo Pigato
Log-Modulated Rough Stochastic Volatility Models. SIAM J. Financial Math. 12 (3) (2021)
Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
Pricing high-dimensional Bermudan options with hierarchical tensor formats. CoRR (2021)
Martin Redmann, Christian Bayer, Pawan Goyal
Low-Dimensional Approximations of High-Dimensional Asset Price Models. SIAM J. Financial Math. 12 (1) (2021)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. 12 (3) (2021)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
Randomized optimal stopping algorithms and their convergence analysis. CoRR (2020)
Christian Bayer, Eric Joseph Hall, Raúl Tempone
Weak error rates for option pricing under the rough Bergomi model. CoRR (2020)
Martin Redmann, Christian Bayer, Pawan Goyal
Low-dimensional approximations of high-dimensional asset price models. CoRR (2020)
Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. CoRR (2020)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny
Reinforced optimal control. CoRR (2020)
Christian Bayer, Benjamin Stemper
Deep calibration of rough stochastic volatility models. CoRR (2018)
Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers
SDE Based Regression for Linear Random PDEs. SIAM J. Sci. Comput. 39 (3) (2017)
Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers
From Rough Path Estimates to Multilevel Monte Carlo. SIAM J. Numer. Anal. 54 (3) (2016)
Christian Bayer, Håkon Hoel, Erik von Schwerin, Raúl Tempone
On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations. SIAM J. Sci. Comput. 36 (2) (2014)
Christian Bayer, Anders Szepessy, Raúl Tempone
Adaptive weak approximation of reflected and stopped diffusions. Monte Carlo Methods Appl. 16 (1) (2010)