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; Breneis, Simon Markovian approximations of stochastic Volterra equations with the fractional kernel. (English) Zbl 1518.91311 Quant. Finance 23, No. 1, 53-70 (2023). MSC: 91G60 65C30 60G22 PDFBibTeX XMLCite \textit{C. Bayer} and \textit{S. Breneis}, Quant. Finance 23, No. 1, 53--70 (2023; Zbl 1518.91311) Full Text: DOI arXiv
Bayer, Christian; Redmann, Martin; Schoenmakers, John Dynamic programming for optimal stopping via pseudo-regression. (English) Zbl 1479.91389 Quant. Finance 21, No. 1, 29-44 (2021). MSC: 91G20 60G40 90C39 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 21, No. 1, 29--44 (2021; Zbl 1479.91389) Full Text: DOI arXiv
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, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. Short-time near-the-money skew in rough fractional volatility models. (English) Zbl 1420.91445 Quant. Finance 19, No. 5, 779-798 (2019). MSC: 91G20 60H30 60F10 60H07 60G22 60G18 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 19, No. 5, 779--798 (2019; Zbl 1420.91445) Full Text: DOI arXiv
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; Friz, Peter; Gatheral, Jim Pricing under rough volatility. (English) Zbl 1465.91108 Quant. Finance 16, No. 6, 887-904 (2016). MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 16, No. 6, 887--904 (2016; Zbl 1465.91108) Full Text: DOI
Bayer, Christian; Friz, Peter; Loeffen, Ronnie Semi-closed form cubature and applications to financial diffusion models. (English) Zbl 1281.91180 Quant. Finance 13, No. 5, 769-782 (2013). MSC: 91G60 91B70 65C30 65D30 65C05 60H05 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 13, No. 5, 769--782 (2013; Zbl 1281.91180) Full Text: DOI arXiv
Bayer, Christian; Gatheral, Jim; Karlsmark, Morten Fast Ninomiya-Victoir calibration of the double-mean-reverting model. (English) Zbl 1290.91155 Quant. Finance 13, No. 11, 1813-1829 (2013). Reviewer: Alexander Szimayer (Hamburg) MSC: 91G20 91G60 60J60 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 13, No. 11, 1813--1829 (2013; Zbl 1290.91155) Full Text: DOI