## Leobacher, Gunther

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 Author ID: leobacher.gunther Published as: Leobacher, Gunther; Leobacher, G. External Links: MGP · ORCID
 Documents Indexed: 39 Publications since 2002, including 1 Book 1 Contribution as Editor Co-Authors: 27 Co-Authors with 35 Joint Publications 520 Co-Co-Authors
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### Co-Authors

 3 single-authored 16 Pillichshammer, Friedrich 8 Dick, Josef 7 Kritzer, Peter 7 Szölgyenyi, Michaela 3 Eichler, Andreas 3 Irrgeher, Christian 3 Larcher, Gerhard 3 Thonhauser, Stefan 2 Ngare, Philip 2 Steinicke, Alexander 2 Winterhof, Arne 2 Zellinger, Heidrun 1 Baldeaux, Jan 1 Buckwar, Evelyn 1 Desmettre, Sascha 1 Drmota, Michael 1 Grabner, Peter J. 1 Hellekalek, Peter 1 Hofer, Roswitha 1 Krizer, Peter 1 Larchner, Gerhard 1 Nuyens, Dirk 1 Prochno, Joscha 1 Rogers, L. C. G. 1 Scheicher, Klaus 1 Schell, Thomas 1 Tichy, Robert Franz
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### Serials

 5 Journal of Complexity 2 Journal of Computational and Applied Mathematics 2 Numerische Mathematik 2 SIAM Journal on Numerical Analysis 2 Numerical Algorithms 2 Monte Carlo Methods and Applications 1 IMA Journal of Numerical Analysis 1 Mathematische Semesterberichte 1 BIT 1 Computing 1 Mathematics and Computers in Simulation 1 Monatshefte für Mathematik 1 Annals of Global Analysis and Geometry 1 Internationale Mathematische Nachrichten 1 Mathematica Pannonica 1 The Annals of Applied Probability 1 The Journal of Geometric Analysis 1 Surveys on Mathematics for Industry 1 Finite Fields and their Applications 1 Applied Mathematical Finance 1 Electronic Communications in Probability 1 Finance and Stochastics 1 Mathematical Finance 1 Mathematical Methods of Operations Research 1 International Journal of Theoretical and Applied Finance 1 Scandinavian Actuarial Journal 1 Stochastic Models 1 European Actuarial Journal 1 Journal of Fractal Geometry 1 Compact Textbooks in Mathematics
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### Fields

 27 Numerical analysis (65-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Probability theory and stochastic processes (60-XX) 9 Number theory (11-XX) 3 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 Combinatorics (05-XX) 2 Measure and integration (28-XX) 2 Ordinary differential equations (34-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Geometry (51-XX) 2 General topology (54-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Manifolds and cell complexes (57-XX) 1 Operations research, mathematical programming (90-XX)

### Citations contained in zbMATH Open

32 Publications have been cited 236 times in 174 Documents Cited by Year
Introduction to quasi-Monte Carlo integration and applications. Zbl 1309.65006
Leobacher, Gunther; Pillichshammer, Friedrich
2014
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules. Zbl 1244.65002
Baldeaux, Jan; Dick, Josef; Leobacher, Gunther; Nuyens, Dirk; Pillichshammer, Friedrich
2012
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
2016
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2005
A strong order $$1/2$$ method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
2017
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
2018
Bounds for the weighted $$L^p$$ discrepancy and tractability of integration. Zbl 1366.11090
Leobacher, Gunther; Pillichshammer, Friedrich
2003
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
2012
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2015
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights. Zbl 1300.65004
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
2006
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
2011
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
2003
The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets. Zbl 1111.65002
Cristea, Ligia L.; Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2007
High-dimensional integration on $$\mathbb{R}^d$$, weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
2015
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
2017
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2014
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
2016
On the optimal order of integration in Hermite spaces with finite smoothness. Zbl 06862953
Dick, Josef; Irrgeher, Christian; Leobacher, Gunther; Pillichshammer, Friedrich
2018
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
2005
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Zbl 1132.11039
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2007
Component-by-component construction of hybrid point sets based on Hammersley and lattice point sets. Zbl 1302.65012
Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2013
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
2018
A method for approximate inversion of the hyperbolic CDF. Zbl 1239.65008
Leobacher, Gunther; Pillichshammer, Friedrich
2002
Notes on exact and semi-exact Lévy models for the valuation of CDOs. Zbl 1233.91269
Eichler, A.; Leobacher, G.; Zellinger, H.
2010
Calibration of financial models using quasi-Monte Carlo. Zbl 1218.91169
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun
2011
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2007
On a class of optimization problems emerging when hedging with short term futures contracts. Zbl 1145.91024
Leobacher, Gunther
2008
An optimal strategy for hedging with short-term futures contracts. Zbl 1058.91040
Larcher, G.; Leobacher, G.
2003
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2019
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2019
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
2018
On the optimal order of integration in Hermite spaces with finite smoothness. Zbl 06862953
Dick, Josef; Irrgeher, Christian; Leobacher, Gunther; Pillichshammer, Friedrich
2018
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
2018
A strong order $$1/2$$ method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
2017
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
2017
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
2016
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
2016
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2015
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights. Zbl 1300.65004
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
High-dimensional integration on $$\mathbb{R}^d$$, weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
2015
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
Introduction to quasi-Monte Carlo integration and applications. Zbl 1309.65006
Leobacher, Gunther; Pillichshammer, Friedrich
2014
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2014
Component-by-component construction of hybrid point sets based on Hammersley and lattice point sets. Zbl 1302.65012
Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2013
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules. Zbl 1244.65002
Baldeaux, Jan; Dick, Josef; Leobacher, Gunther; Nuyens, Dirk; Pillichshammer, Friedrich
2012
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
2012
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
2011
Calibration of financial models using quasi-Monte Carlo. Zbl 1218.91169
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun
2011
Notes on exact and semi-exact Lévy models for the valuation of CDOs. Zbl 1233.91269
Eichler, A.; Leobacher, G.; Zellinger, H.
2010
On a class of optimization problems emerging when hedging with short term futures contracts. Zbl 1145.91024
Leobacher, Gunther
2008
The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets. Zbl 1111.65002
Cristea, Ligia L.; Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2007
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Zbl 1132.11039
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2007
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2007
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
2006
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2005
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
2005
Bounds for the weighted $$L^p$$ discrepancy and tractability of integration. Zbl 1366.11090
Leobacher, Gunther; Pillichshammer, Friedrich
2003
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
2003
An optimal strategy for hedging with short-term futures contracts. Zbl 1058.91040
Larcher, G.; Leobacher, G.
2003
A method for approximate inversion of the hyperbolic CDF. Zbl 1239.65008
Leobacher, Gunther; Pillichshammer, Friedrich
2002
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### Cited by 187 Authors

 37 Pillichshammer, Friedrich 24 Kritzer, Peter 23 Dick, Josef 16 Leobacher, Gunther 10 Goda, Takashi 10 Nuyens, Dirk 9 Szölgyenyi, Michaela 8 Hinrichs, Aicke 8 Woźniakowski, Henryk 7 Kuo, Frances Y. 6 Gnewuch, Michael 6 Irrgeher, Christian 6 Xu, Guiqiao 5 Kritzinger, Ralph 5 Liu, Yongping 5 Sloan, Ian Hugh 4 Hefter, Mario 4 Niederreiter, Harald 4 Suzuki, Kosuke 4 Yaroslavtseva, Larisa 4 Yoshiki, Takehito 3 Ebert, Adrian 3 Müller-Gronbach, Thomas 3 Nguyen, Dong T. P. 3 Ritter, Klaus 3 Wasilkowski, Grzegorz W. 2 Baldeaux, Jan 2 Cools, Ronald 2 Dareiotis, Konstantinos Anastasios 2 Eichler, Andreas 2 Esquivel, Hugo 2 Gerencsér, Máté 2 Gomez-Perez, Domingo 2 Kolkiewicz, Adam W. 2 Laimer, Helene 2 Lertchoosakul, Poj 2 Lin, Guang 2 Markhasin, Lev 2 Matsumoto, Makoto 2 Papageorgiou, Anargyros 2 Petras, Iasonas 2 Prakash, Arun J. 2 Przybyłowicz, Paweł 2 Schwab, Christoph 2 Steinicke, Alexander 2 Taguchi, Dai 2 Tang, Qihe 2 Thonhauser, Stefan 2 Tichy, Robert Franz 2 Wang, Xiaoqun 2 Yuan, Zhongyi 1 Aistleitner, Christoph 1 Anthonissen, Martijn Johannes Hermanus 1 Avram, Florin 1 Baláž, Vladimír 1 Bäuerle, Nicole 1 Bednařík, Dušan 1 Brauchart, Johann S. 1 Brown, Paul T. 1 Buchholz, Alexander 1 Butkovsky, Oleg A. 1 Butler, Troy D. 1 Ceci, Claudia 1 Chen, Rongda 1 Cheng, Gongpin 1 Choi, Bosu 1 Choirat, Christine 1 Chopin, Nicolas 1 Colaneri, Katia 1 Cretarola, Alessandra 1 Dingeç, Kemal Dinçer 1 Dinh Dũng 1 Dzupire, Nelson Christopher 1 Fadonougbo, Renaud 1 Fan, Chenxi 1 Fang, Lou 1 Faure, Henri 1 Fialová, Jana 1 Fox, Jamie 1 Fu, Junhui 1 Fung, Man Chung 1 Gandy, Axel 1 Genin, Adrien 1 Girolami, Mark A. 1 Gomez, Ana Isabel 1 Greslehner, Julia 1 Griebel, Michael 1 Haddley, Alena 1 Hatzesberger, Simon 1 Hebbinghaus, Nils 1 Hellekalek, Peter 1 Herzwurm, André 1 Heß, Markus 1 Hickernell, Fred J. 1 Hilber, Norbert 1 Hofer, Roswitha 1 Hofinger, Andreas 1 Hörmann, Wolfgang 1 IJzerman, Wilbert L. 1 Imai, Junichi ...and 87 more Authors
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### Cited in 72 Serials

 38 Journal of Complexity 10 Journal of Computational and Applied Mathematics 8 Journal of Approximation Theory 7 Mathematics of Computation 5 Numerische Mathematik 4 Mathematics and Computers in Simulation 4 SIAM Journal on Numerical Analysis 4 Numerical Algorithms 4 Foundations of Computational Mathematics 3 Journal of Mathematical Analysis and Applications 3 Monte Carlo Methods and Applications 2 BIT 2 Functiones et Approximatio. Commentarii Mathematici 2 Proceedings of the American Mathematical Society 2 The Annals of Applied Probability 2 European Journal of Operational Research 2 Stochastic Processes and their Applications 2 SIAM Journal on Scientific Computing 2 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance 2 Scandinavian Actuarial Journal 2 Review of Derivatives Research 2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 2 Statistics & Risk Modeling 1 Bulletin of the Australian Mathematical Society 1 Discrete Mathematics 1 Israel Journal of Mathematics 1 Journal of Computational Physics 1 Mathematical Methods in the Applied Sciences 1 Mathematical Notes 1 Mathematische Semesterberichte 1 Periodica Mathematica Hungarica 1 Physica A 1 Applied Mathematics and Computation 1 Archiv der Mathematik 1 Journal of Number Theory 1 Journal of Statistical Planning and Inference 1 Mathematika 1 Monatshefte für Mathematik 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 Annals of Global Analysis and Geometry 1 Probability Theory and Related Fields 1 Constructive Approximation 1 Journal of Scientific Computing 1 The Journal of Geometric Analysis 1 Designs, Codes and Cryptography 1 Computational Statistics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Indagationes Mathematicae. New Series 1 Journal de Théorie des Nombres de Bordeaux 1 Theory of Probability and Mathematical Statistics 1 Fractals 1 Finite Fields and their Applications 1 Electronic Journal of Probability 1 Mathematical Problems in Engineering 1 Mathematical Methods of Operations Research 1 Quantitative Finance 1 ASTIN Bulletin 1 Quantum Information Processing 1 Asia-Pacific Financial Markets 1 International Journal of Wavelets, Multiresolution and Information Processing 1 Journal of Industrial and Management Optimization 1 Proceedings of the Steklov Institute of Mathematics 1 AStA. Advances in Statistical Analysis 1 SIAM Journal on Financial Mathematics 1 Journal of Computational and Graphical Statistics 1 Journal of Probability and Statistics 1 European Actuarial Journal 1 Statistics and Computing 1 Journal of Fractal Geometry
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### Cited in 31 Fields

 118 Numerical analysis (65-XX) 42 Probability theory and stochastic processes (60-XX) 39 Number theory (11-XX) 33 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Approximations and expansions (41-XX) 12 Statistics (62-XX) 11 Functional analysis (46-XX) 11 Computer science (68-XX) 6 Systems theory; control (93-XX) 4 Ordinary differential equations (34-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Measure and integration (28-XX) 3 Partial differential equations (35-XX) 3 Operations research, mathematical programming (90-XX) 2 Combinatorics (05-XX) 2 Operator theory (47-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 General topology (54-XX) 2 Information and communication theory, circuits (94-XX) 1 Field theory and polynomials (12-XX) 1 Real functions (26-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Geometry (51-XX) 1 Differential geometry (53-XX) 1 Manifolds and cell complexes (57-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX)