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Christian Bayer

Identifiers

  • name variant Christian Bayer 0.60 · backfill

Papers (21)

  1. Deep calibration of rough stochastic volatility models q-fin.PR · 2018 · author #1
  2. Dynamic programming for optimal stopping via pseudo-regression q-fin.CP · 2018 · author #1
  3. Solving linear parabolic rough partial differential equations math.PR · 2018 · author #1
  4. A regularity structure for rough volatility q-fin.PR · 2017 · author #1
  5. Implied Stopping Rules for American Basket Options from Markovian Projection q-fin.CP · 2017 · author #1
  6. Short-time near-the-money skew in rough fractional volatility models q-fin.PR · 2017 · author #1
  7. Smoothing the payoff for efficient computation of Basket option prices q-fin.CP · 2016 · author #1
  8. Option pricing in affine generalized Merton models q-fin.CP · 2015 · author #1
  9. An Efficient Forward-Reverse Expectation-Maximization Algorithm for Statistical Inference in Stochastic Reaction Networks math.NA · 2015 · author #1
  10. Forward-reverse EM algorithm for Markov chains: convergence and numerical analysis math.ST · 2015 · author #1
  11. A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics q-fin.MF · 2014 · author #1
  12. On the probability density function of baskets math.PR · 2013 · author #1
  13. Simulation of forward-reverse stochastic representations for conditional diffusions math.PR · 2013 · author #1
  14. From rough path estimates to multilevel Monte Carlo math.PR · 2013 · author #1
  15. Computational error estimates for Born-Oppenheimer molecular dynamics with nearly crossing potential surfaces math.NA · 2013 · author #1
  16. Cubature on Wiener space: pathwise convergence math.PR · 2013 · author #1
  17. Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process q-fin.PM · 2012 · author #1
  18. How accurate is molecular dynamics? math-ph · 2011 · author #1
  19. Semi-Closed Form Cubature and Applications to Financial Diffusion Models q-fin.CP · 2010 · author #1
  20. Cubature on Wiener space in infinite dimension math.PR · 2007 · author #1
  21. The proof of Tchakaloff's Theorem math.NA · 2005 · author #1

Mentions

  • 1306.2793 #1 · backfill · confidence 0.70 Christian Bayer
  • 1306.2452 #1 · backfill · confidence 0.70 Christian Bayer
  • 1305.5779 #1 · backfill · confidence 0.70 Christian Bayer
  • 1305.3330 #1 · backfill · confidence 0.70 Christian Bayer
  • 1304.4623 #1 · backfill · confidence 0.70 Christian Bayer
  • 1209.5175 #1 · backfill · confidence 0.70 Christian Bayer
  • 1104.0953 #1 · backfill · confidence 0.70 Christian Bayer
  • 1009.4818 #1 · backfill · confidence 0.70 Christian Bayer
  • 0712.3763 #1 · backfill · confidence 0.70 Christian Bayer

Frequent Coauthors