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Leobacher, Gunther

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Author ID: leobacher.gunther Recent zbMATH articles by "Leobacher, Gunther"
Published as: Leobacher, G.; Leobacher, Gunther
External Links: MGP · Wikidata · ORCID
Documents Indexed: 35 Publications since 2002, including 1 Book

Publications by Year

Citations contained in zbMATH

29 Publications have been cited 175 times in 136 Documents Cited by Year
Introduction to quasi-Monte Carlo integration and applications. Zbl 1309.65006
Leobacher, Gunther; Pillichshammer, Friedrich
31
2014
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
20
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
15
2012
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
11
2005
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
9
2016
Bounds for the weighted \(L^p\) discrepancy and tractability of integration. Zbl 1366.11090
Leobacher, Gunther; Pillichshammer, Friedrich
8
2003
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
7
2012
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
6
2017
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
6
2015
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
6
2007
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
6
2006
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
6
2003
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
5
2018
High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
5
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
5
2015
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
5
2011
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
3
2017
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
3
2016
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
3
2014
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
3
2005
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
2
2018
Component-by-component construction of hybrid point sets based on Hammersley and lattice point sets. Zbl 1302.65012
Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2
2013
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Zbl 1132.11039
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2
2007
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
1
2015
Notes on exact and semi-exact Lévy models for the valuation of CDOs. Zbl 1233.91269
Eichler, A.; Leobacher, G.; Zellinger, H.
1
2010
On a class of optimization problems emerging when hedging with short term futures contracts. Zbl 1145.91024
Leobacher, Gunther
1
2008
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
1
2007
An optimal strategy for hedging with short-term futures contracts. Zbl 1058.91040
Larcher, G.; Leobacher, G.
1
2003
A method for approximate inversion of the hyperbolic CDF. Zbl 1239.65008
Leobacher, Gunther; Pillichshammer, Friedrich
1
2002
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
5
2018
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
2
2018
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
6
2017
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
3
2017
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
9
2016
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
3
2016
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
20
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
6
2015
High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
5
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
5
2015
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
1
2015
Introduction to quasi-Monte Carlo integration and applications. Zbl 1309.65006
Leobacher, Gunther; Pillichshammer, Friedrich
31
2014
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
3
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
2
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
15
2012
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
7
2012
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
5
2011
Notes on exact and semi-exact Lévy models for the valuation of CDOs. Zbl 1233.91269
Eichler, A.; Leobacher, G.; Zellinger, H.
1
2010
On a class of optimization problems emerging when hedging with short term futures contracts. Zbl 1145.91024
Leobacher, Gunther
1
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
6
2007
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Zbl 1132.11039
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2
2007
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
1
2007
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
6
2006
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
11
2005
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
3
2005
Bounds for the weighted \(L^p\) discrepancy and tractability of integration. Zbl 1366.11090
Leobacher, Gunther; Pillichshammer, Friedrich
8
2003
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
6
2003
An optimal strategy for hedging with short-term futures contracts. Zbl 1058.91040
Larcher, G.; Leobacher, G.
1
2003
A method for approximate inversion of the hyperbolic CDF. Zbl 1239.65008
Leobacher, Gunther; Pillichshammer, Friedrich
1
2002
all top 5

Cited by 150 Authors

31 Pillichshammer, Friedrich
22 Dick, Josef
20 Kritzer, Peter
13 Leobacher, Gunther
10 Goda, Takashi
7 Hinrichs, Aicke
7 Szölgyenyi, Michaela
7 Woźniakowski, Henryk
6 Kuo, Frances Y.
6 Nuyens, Dirk
6 Xu, Guiqiao
5 Irrgeher, Christian
5 Liu, Yongping
4 Gnewuch, Michael
4 Kritzinger, Ralph
4 Niederreiter, Harald
4 Sloan, Ian Hugh
4 Suzuki, Kosuke
4 Yoshiki, Takehito
3 Hefter, Mario
3 Müller-Gronbach, Thomas
3 Yaroslavtseva, Larisa
2 Baldeaux, Jan
2 Cristea, Ligia-Loretta
2 Ebert, Adrian
2 Eichler, Andreas
2 Kolkiewicz, Adam W.
2 Laimer, Helene
2 Lertchoosakul, Poj
2 Markhasin, Lev
2 Matsumoto, Makoto
2 Papageorgiou, Anargyros
2 Petras, Iasonas
2 Ritter, Klaus
2 Schwab, Christoph
2 Taguchi, Dai
2 Thonhauser, Stefan
2 Tichy, Robert Franz
2 Wang, Xiaoqun
2 Wasilkowski, Grzegorz W.
2 Zhang, Jie
1 Aistleitner, Christoph
1 Avram, Florin
1 Baláž, Vladimír
1 Bednařík, Dušan
1 Brauchart, Johann S.
1 Butler, Troy D.
1 Ceci, Claudia
1 Chen, Rongda
1 Cheng, Gongpin
1 Choirat, Christine
1 Colaneri, Katia
1 Cools, Ronald
1 Cretarola, Alessandra
1 Cristea, Ligia-Loreta
1 Dareiotis, Konstantinos Anastasios
1 Dingeç, Kemal Dinçer
1 Dzupire, Nelson Christopher
1 Fan, Chenxi
1 Fang, Lou
1 Faure, Henri
1 Fialová, Jana
1 Fu, Junhui
1 Fung, Man Chung
1 Gandy, Axel
1 Genin, Adrien
1 Gerencsér, Máté
1 Gomez-Perez, Domingo
1 Graham, Liam
1 Greslehner, Julia
1 Griebel, Michael
1 Grozdanov, Vasil S.
1 Haddley, Alena
1 Hatzesberger, Simon
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 Imai, Junichi
1 Kohatsu-Higa, Arturo
1 Kritzinger, Lisa M.
1 Kühn, Thomas
1 Larcher, Gerhard
1 Le Gia, Quoc Thong
1 L’Ecuyer, Pierre
1 Lejay, Antoine
1 Leung, Melvern
1 Lin, Junyi
1 Liu, Yufang
1 Marques, Diego
1 Martínez Salgueiro, Andrea
1 Matoba, Kyle
1 Mattis, Steven A.
1 Mayer, Sebastian A.
1 Nair, Radhakrishnan B.
1 Neuenkirch, Andreas
...and 50 more Authors
all top 5

Cited in 57 Serials

33 Journal of Complexity
8 Journal of Approximation Theory
7 Journal of Computational and Applied Mathematics
5 Mathematics of Computation
4 Numerische Mathematik
4 SIAM Journal on Numerical Analysis
3 Numerical Algorithms
3 Monte Carlo Methods and Applications
3 Foundations of Computational Mathematics
2 BIT
2 Functiones et Approximatio. Commentarii Mathematici
2 Proceedings of the American Mathematical Society
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
1 Bulletin of the Australian Mathematical Society
1 Discrete Mathematics
1 Israel Journal of Mathematics
1 Journal of Mathematical Analysis and Applications
1 Mathematical Methods in the Applied Sciences
1 Mathematical Notes
1 Periodica Mathematica Hungarica
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 Constructive Approximation
1 The Annals of Applied Probability
1 Designs, Codes and Cryptography
1 European Journal of Operational Research
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
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 Journal of Probability and Statistics
1 European Actuarial Journal
1 Statistics & Risk Modeling
1 Journal of Fractal Geometry

Citations by Year

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