Gunther Leobacher

24 papers Misc 1Journal 22
YearRankTypeTitle / Venue / Authors
2023 J jnl
Tractability of
J. Complex.
Gunther Leobacher, Friedrich Pillichshammer, Adrian Ebert
2022 J jnl
Tractability of L
CoRR
Gunther Leobacher, Friedrich Pillichshammer, Adrian Ebert
2020 J jnl
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift.
CoRR
Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
2018 J jnl
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient.
Numerische Mathematik
Gunther Leobacher, Michaela Szölgyenyi
2018 J jnl
Editorial.
Math. Comput. Simul.
Evelyn Buckwar, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer, Arne Winterhof
2018 J jnl
On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness.
SIAM J. Numer. Anal.
Josef Dick, Christian Irrgeher, Gunther Leobacher, Friedrich Pillichshammer
2016 J jnl
Utility indifference pricing of derivatives written on industrial loss indices.
J. Comput. Appl. Math.
Gunther Leobacher, Philip Ngare
2015 J jnl
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights.
J. Comput. Appl. Math.
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
2015 J jnl
High-dimensional integration on R
J. Complex.
Christian Irrgeher, Gunther Leobacher
2015 J jnl
Integration in Hermite spaces of analytic functions.
J. Complex.
Christian Irrgeher, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
2015 J jnl
Numerical integration in log-Korobov and log-cosine spaces.
Numer. Algorithms
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
2014 — ch.
A short introduction to quasi-Monte Carlo option pricing.
Uniform Distribution and Quasi-Monte Carlo Methods
Gunther Leobacher
2012 J jnl
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules.
Numer. Algorithms
Jan Baldeaux, Josef Dick, Gunther Leobacher, Dirk Nuyens, Friedrich Pillichshammer
2012 J jnl
Fast orthogonal transforms and generation of Brownian paths.
J. Complex.
Gunther Leobacher
2012 Misc conf
Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo.
WSC
Christian Irrgeher, Gunther Leobacher
2011 J jnl
Calibration of financial models using quasi-Monte Carlo.
Monte Carlo Methods Appl.
Andreas Eichler, Gunther Leobacher, Heidrun Zellinger
2008 J jnl
On a class of optimization problems emerging when hedging with short term futures contracts.
Math. Methods Oper. Res.
Gunther Leobacher
2007 J jnl
Constructions of general polynomial lattice rules based on the weighted star discrepancy.
Finite Fields Their Appl.
Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer
2007 J jnl
The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets.
Numerische Mathematik
Ligia L. Cristea, Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
2006 J jnl
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes.
Monte Carlo Methods Appl.
Gunther Leobacher
2005 J jnl
Construction Algorithms for Digital Nets with Low Weighted Star Discrepancy.
SIAM J. Numer. Anal.
Josef Dick, Gunther Leobacher, Friedrich Pillichshammer
2003 J jnl
Bounds for the weighted
J. Complex.
Gunther Leobacher, Friedrich Pillichshammer
2003 J jnl
On the tractability of the Brownian Bridge algorithm.
J. Complex.
Gerhard Larcher, Gunther Leobacher, Klaus Scheicher
2002 J jnl
A Method for Approximate Inversion of the Hyperbolic CDF.
Computing
Gunther Leobacher, Friedrich Pillichshammer