The following pages link to Christian Bayer (Q358623):
Displaying 50 items.
- Cubature on Wiener space: pathwise convergence (Q358624) (← links)
- Simulation of forward-reverse stochastic representations for conditional diffusions (Q744383) (← links)
- Near-wall measurements of turbulence statistics in a fully developed channel flow with a novel laser Doppler velocity profile sensor (Q950521) (← links)
- Investment timing and predatory behavior in a duopoly with endogenous exit (Q1027409) (← links)
- A functional limit theorem for limit order books with state dependent price dynamics (Q1688017) (← links)
- Reinforced optimal control (Q2103076) (← links)
- Solving linear parabolic rough partial differential equations (Q2190037) (← links)
- The invariant distribution of wealth and employment status in a small open economy with precautionary savings (Q2283130) (← links)
- On the interaction of financial frictions and fixed capital adjustment costs: evidence from a panel of German firms (Q2654414) (← links)
- An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks (Q2804510) (← links)
- From rough path estimates to multilevel Monte Carlo (Q2807285) (← links)
- Combining non-cointegration tests (Q2852482) (← links)
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process (Q2874727) (← links)
- On nonasymptotic optimal stopping criteria in Monte Carlo simulations (Q2875009) (← links)
- Asymptotics beats Monte Carlo: the case of correlated local vol baskets (Q2922151) (← links)
- Computational Error Estimates for Born–Oppenheimer Molecular Dynamics with Nearly Crossing Potential Surfaces (Q3451339) (← links)
- Cubature on Wiener space in infinite dimension (Q3560331) (← links)
- Adaptive weak approximation of reflected and stopped diffusions (Q3564644) (← links)
- Smoothing the payoff for efficient computation of Basket option prices (Q4554434) (← links)
- Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
- On the Probability Density Function of Baskets (Q4560341) (← links)
- Pricing American options by exercise rate optimization (Q4957236) (← links)
- Option Pricing in Affine Generalized Merton Models (Q4976500) (← links)
- Low-Dimensional Approximations of High-Dimensional Asset Price Models (Q4990516) (← links)
- Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation (Q4991627) (← links)
- Pricing under rough volatility (Q5001177) (← links)
- Dynamic programming for optimal stopping via pseudo-regression (Q5014168) (← links)
- A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES (Q5052306) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models (Q5092721) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis (Q5162847) (← links)
- Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
- Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis (Q5215017) (← links)
- Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk (Q5225250) (← links)
- Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- SDE Based Regression for Linear Random PDEs (Q5275045) (← links)
- Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering (Q5350487) (← links)
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
- The proof of Tchakaloff’s Theorem (Q5473432) (← links)
- A regularity structure for rough volatility (Q5855942) (← links)
- WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
- Stability of Deep Neural Networks via Discrete Rough Paths (Q5885832) (← links)
- Markovian approximations of stochastic Volterra equations with the fractional kernel (Q6101020) (← links)
- Optimal stopping with signatures (Q6103968) (← links)
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats (Q6159076) (← links)
- Primal and dual optimal stopping with signatures (Q6462432) (← links)
- Code for "Primal and dual optimal stopping with signatures" (Q6483006) (← links)
