Christian Bayer

27 papers Journal 27

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Local regression on path spaces with signature metrics. CoRR Christian Bayer, Davit Gogolashvili, Luca Pelizzari
2025	J	`jnl`	Stochastic Control with Signatures. SIAM J. Control. Optim. Peter Bank, Christian Bayer, Paul Hager, Sebastian Riedel, Tobias Nauen
2024	J	`jnl`	Dimension reduction for path signatures. CoRR Christian Bayer, Martin Redmann
2024	J	`jnl`	Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. SIAM J. Sci. Comput. Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
2024	J	`jnl`	Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. CoRR Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
2023	J	`jnl`	An Adaptive Algorithm for Rough Differential Equations. CoRR Christian Bayer, Simon Breneis, Terry Lyons
2023	J	`jnl`	Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math. Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
2023	J	`jnl`	Stability of Deep Neural Networks via Discrete Rough Paths. SIAM J. Math. Data Sci. Christian Bayer, Peter K. Friz, Nikolas Tapia
2022	J	`jnl`	Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. CoRR Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
2022	J	`jnl`	Pricing Options under Rough Volatility with Backward SPDEs. SIAM J. Financial Math. Christian Bayer, Jinniao Qiu, Yao Yao
2022	J	`jnl`	Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. SIAM J. Financial Math. Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara
2022	J	`jnl`	Stability of Deep Neural Networks via discrete rough paths. CoRR Christian Bayer, Peter K. Friz, Nikolas Tapia
2021	J	`jnl`	Log-Modulated Rough Stochastic Volatility Models. SIAM J. Financial Math. Christian Bayer, Fabian A. Harang, Paolo Pigato
2021	J	`jnl`	Low-Dimensional Approximations of High-Dimensional Asset Price Models. SIAM J. Financial Math. Martin Redmann, Christian Bayer, Pawan Goyal
2021	J	`jnl`	Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. CoRR Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
2021	J	`jnl`	Pricing high-dimensional Bermudan options with hierarchical tensor formats. CoRR Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
2021	J	`jnl`	Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
2020	J	`jnl`	Low-dimensional approximations of high-dimensional asset price models. CoRR Martin Redmann, Christian Bayer, Pawan Goyal
2020	J	`jnl`	Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. CoRR Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
2020	J	`jnl`	Randomized optimal stopping algorithms and their convergence analysis. CoRR Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
2020	J	`jnl`	Reinforced optimal control. CoRR Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny
2020	J	`jnl`	Weak error rates for option pricing under the rough Bergomi model. CoRR Christian Bayer, Eric Joseph Hall, Raúl Tempone
2018	J	`jnl`	Deep calibration of rough stochastic volatility models. CoRR Christian Bayer, Benjamin Stemper
2017	J	`jnl`	SDE Based Regression for Linear Random PDEs. SIAM J. Sci. Comput. Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers
2016	J	`jnl`	From Rough Path Estimates to Multilevel Monte Carlo. SIAM J. Numer. Anal. Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers
2014	J	`jnl`	On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations. SIAM J. Sci. Comput. Christian Bayer, Håkon Hoel, Erik von Schwerin, Raúl Tempone
2010	J	`jnl`	Adaptive weak approximation of reflected and stopped diffusions. Monte Carlo Methods Appl. Christian Bayer, Anders Szepessy, Raúl Tempone