Bayer, Christian; Hammouda, Chiheb Ben; Papapantoleon, Antonis; Samet, Michael; Tempone, Raúl Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. arXiv:2403.02832 Preprint, arXiv:2403.02832 [q-fin.CP] (2024). MSC: 65D32 65T50 65Y20 91B25 91G20 91G60 BibTeX Cite \textit{C. Bayer} et al., ``Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options'', Preprint, arXiv:2403.02832 [q-fin.CP] (2024) Full Text: arXiv OA License
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. (English) Zbl 1519.91286 Quant. Finance 23, No. 2, 209-227 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 65D40 65D32 65Y20 91G20 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 23, No. 2, 209--227 (2023; Zbl 1519.91286) Full Text: DOI arXiv
Bayer, Christian; Hall, Eric Joseph; Tempone, Raúl Weak error rates for option pricing under linear rough volatility. (English) Zbl 1508.91549 Int. J. Theor. Appl. Finance 25, No. 7-8, Article ID 2250029, 47 p. (2022). MSC: 91G20 60G22 91-04 PDFBibTeX XMLCite \textit{C. Bayer} et al., Int. J. Theor. Appl. Finance 25, No. 7--8, Article ID 2250029, 47 p. (2022; Zbl 1508.91549) Full Text: DOI arXiv
Samet, Michael; Bayer, Christian; Hammouda, Chiheb Ben; Papapantoleon, Antonis; Tempone, Raúl Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. arXiv:2203.08196 Preprint, arXiv:2203.08196 [q-fin.CP] (2022). BibTeX Cite \textit{M. Samet} et al., ``Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models'', Preprint, arXiv:2203.08196 [q-fin.CP] (2022) Full Text: DOI arXiv OA License
Bayer, Christian; Tempone, Raúl; Wolfers, Sören Pricing American options by exercise rate optimization. (English) Zbl 1471.91615 Quant. Finance 20, No. 11, 1749-1760 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 60G40 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 20, No. 11, 1749--1760 (2020; Zbl 1471.91615) Full Text: DOI arXiv
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. (English) Zbl 1454.91359 Quant. Finance 20, No. 9, 1457-1473 (2020). MSC: 91G60 91G20 65C05 65D30 65D32 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 20, No. 9, 1457--1473 (2020; Zbl 1454.91359) Full Text: DOI arXiv Link
Bayer, Christian; Häppölä, Juho; Tempone, Raúl Implied stopping rules for American basket options from Markovian projection. (English) Zbl 1420.91446 Quant. Finance 19, No. 3, 371-390 (2019). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 19, No. 3, 371--390 (2019; Zbl 1420.91446) Full Text: DOI arXiv
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul Smoothing the payoff for efficient computation of basket option prices. (English) Zbl 1400.91649 Quant. Finance 18, No. 3, 491-505 (2018). MSC: 91G60 91G20 91-04 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 18, No. 3, 491--505 (2018; Zbl 1400.91649) Full Text: DOI arXiv Link
Bayer, Christian; Moraes, Alvaro; Tempone, Raul; Vilanova, Pedro An efficient forward-reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks. (English) Zbl 1347.60106 Stochastic Anal. Appl. 34, No. 2, 193-231 (2016). MSC: 60J22 60J10 60J27 60J75 62M05 65C05 65C40 65C60 92C42 PDFBibTeX XMLCite \textit{C. Bayer} et al., Stochastic Anal. Appl. 34, No. 2, 193--231 (2016; Zbl 1347.60106) Full Text: DOI arXiv
Bayer, Christian; Hoel, Håkon; von Schwerin, Erik; Tempone, Raúl On nonasymptotic optimal stopping criteria in Monte Carlo simulations. (English) Zbl 1296.65003 SIAM J. Sci. Comput. 36, No. 2, 869-885 (2014). MSC: 65C05 62L12 62L15 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Sci. Comput. 36, No. 2, 869--885 (2014; Zbl 1296.65003) Full Text: DOI Link
Bayer, Christian; Hoel, Håkon; Plecháč, Petr; Szepessy, Anders; Tempone, Raúl How accurate is molecular dynamics? arXiv:1104.0953 Preprint, arXiv:1104.0953 [math-ph] (2011). MSC: 81Q20 82C10 BibTeX Cite \textit{C. Bayer} et al., ``How accurate is molecular dynamics?'', Preprint, arXiv:1104.0953 [math-ph] (2011) Full Text: arXiv OA License
Bayer, Christian; Szepessy, Anders; Tempone, Raúl Adaptive weak approximation of reflected and stopped diffusions. (English) Zbl 1196.65029 Monte Carlo Methods Appl. 16, No. 1, 1-67 (2010). Reviewer: Dominique Lepingle (Orléans) MSC: 65C30 60H15 60H35 60J60 35R60 35K05 65M15 PDFBibTeX XMLCite \textit{C. Bayer} et al., Monte Carlo Methods Appl. 16, No. 1, 1--67 (2010; Zbl 1196.65029) Full Text: DOI