Christian Bayer
Title
Cited by
Cited by
Year
The proof of Tchakaloff’s theorem
C Bayer, J Teichmann
Proceedings of the American mathematical society 134 (10), 3035-3040, 2006
1112006
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
362016
Fast Ninomiya–Victoir calibration of the double-mean-reverting model
C Bayer, J Gatheral, M Karlsmark
Quantitative Finance 13 (11), 1813-1829, 2013
342013
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
282014
Cubature on Wiener space in infinite dimension
C Bayer, J Teichmann
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2008
272008
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
262014
Semi-closed form cubature and applications to financial diffusion models
C Bayer, P Friz, R Loeffen
Quantitative Finance 13 (5), 769-782, 2013
242013
Simulation of forward-reverse stochastic representations for conditional diffusions
C Bayer, J Schoenmakers
The Annals of Applied Probability 24 (5), 1994-2032, 2014
192014
Cubature on Wiener space: pathwise convergence
C Bayer, PK Friz
Applied Mathematics & Optimization 67 (2), 261-278, 2013
182013
Adaptive weak approximation of reflected and stopped diffusions
C Bayer, A Szepessy, R Tempone
Monte Carlo Methods and Applications 16 (1), 1-67, 2010
152010
Matching and Saving in Continuous Time: Theory
C Bayer, K Wälde
CESifo Working Paper Series, 2010
142010
On the probability density function of baskets
C Bayer, PK Friz, P Laurence
Large deviations and asymptotic methods in finance, 449-472, 2015
132015
Matching and Saving in Continuous Time: Proofs
C Bayer, K Wälde
CESifo Working Paper Series, 2010
112010
Existence, uniqueness and stability of invariant distributions in continuous-time stochastic models
C Bayer, K Wälde
Gutenberg School of Management and Economics: Discussion Paper Series, 2011
72011
Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
C Bayer, B Veliyev
International Journal of Theoretical and Applied Finance 17 (04), 1450022, 2014
62014
Describing the dynamics of distributions in search and matching models by fokker-planck equations
C Bayer, K Wälde
Gutenberg School of Management and Economics Discussion Paper 1110, 2011
62011
How accurate is molecular dynamics?
C Bayer, H Hoel, P Plecháč, A Szepessy, R Tempone
arXiv preprint arXiv:1104.0953, 2011
62011
The dynamics of distributions in continuous-time stochastic models
C Bayer, K Wälde
Unpublished, 2013
52013
Computational Finance
C Bayer, A Papapantoleon
Lecture notes for Computational Finance course, TU Berlin, July 152010, 2010
42010
Simulation of conditional diffusions via forward-reverse stochastic representations
C Bayer, JGM Schoenmakers
Berlin: Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013
22013
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