Gunther Leobacher

Publication Activity (10 Years)

Years Active: 2002-2023
Publications (10 Years): 7

Top Topics

Lapped Transforms

Diffusion Coefficient

Projection Method

Top Venues

J. Comput. Appl. Math.

Math. Comput. Simul.

Publications

Gunther Leobacher, Friedrich Pillichshammer, Adrian Ebert
-approximation and integration in weighted Hermite spaces of finite smoothness. J. Complex. 78 (2023)
Gunther Leobacher, Friedrich Pillichshammer, Adrian Ebert
-approximation and integration in weighted Hermite spaces of finite smoothness. CoRR (2022)
Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift. CoRR (2020)
Josef Dick, Christian Irrgeher, Gunther Leobacher, Friedrich Pillichshammer
On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness. SIAM J. Numer. Anal. 56 (2) (2018)
Evelyn Buckwar, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer, Arne Winterhof
Editorial. Math. Comput. Simul. 143 (2018)
Gunther Leobacher, Michaela Szölgyenyi
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numerische Mathematik 138 (1) (2018)
Gunther Leobacher, Philip Ngare
Utility indifference pricing of derivatives written on industrial loss indices. J. Comput. Appl. Math. 300 (2016)
Christian Irrgeher, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
Integration in Hermite spaces of analytic functions. J. Complex. 31 (3) (2015)
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights. J. Comput. Appl. Math. 276 (2015)
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
Numerical integration in log-Korobov and log-cosine spaces. Numer. Algorithms 70 (4) (2015)
Christian Irrgeher, Gunther Leobacher
, weighted Hermite spaces, and orthogonal transforms. J. Complex. 31 (2) (2015)
Christian Irrgeher, Gunther Leobacher
Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo. WSC (2012)
Gunther Leobacher
Fast orthogonal transforms and generation of Brownian paths. J. Complex. 28 (2) (2012)
Jan Baldeaux, Josef Dick, Gunther Leobacher, Dirk Nuyens, Friedrich Pillichshammer
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules. Numer. Algorithms 59 (3) (2012)
Andreas Eichler, Gunther Leobacher, Heidrun Zellinger
Calibration of financial models using quasi-Monte Carlo. Monte Carlo Methods Appl. 17 (2) (2011)
Gunther Leobacher
On a class of optimization problems emerging when hedging with short term futures contracts. Math. Methods Oper. Res. 67 (1) (2008)
Ligia L. Cristea, Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets. Numerische Mathematik 105 (3) (2007)
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Finite Fields Their Appl. 13 (4) (2007)
Gunther Leobacher
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Monte Carlo Methods Appl. 12 (3) (2006)
Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
Construction Algorithms for Digital Nets with Low Weighted Star Discrepancy. SIAM J. Numer. Anal. 43 (1) (2005)
Gunther Leobacher, Friedrich Pillichshammer
discrepancy and tractability of integration. J. Complex. 19 (4) (2003)
Gerhard Larcher, Gunther Leobacher, Klaus Scheicher
On the tractability of the Brownian Bridge algorithm. J. Complex. 19 (4) (2003)
Gunther Leobacher, Friedrich Pillichshammer
A Method for Approximate Inversion of the Hyperbolic CDF. Computing 69 (4) (2002)