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Author ID: leobacher.gunther Recent zbMATH articles by "Leobacher, Gunther"
Published as: Leobacher, Gunther; Leobacher, G.
External Links: MGP · ORCID

Publications by Year

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
48
2014
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
25
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
17
2012
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
13
2016
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
13
2005
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
13
2017
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
12
2018
Bounds for the weighted \(L^p\) discrepancy and tractability of integration. Zbl 1366.11090
Leobacher, Gunther; Pillichshammer, Friedrich
9
2003
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
8
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
8
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
7
2015
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
6
2006
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
6
2011
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
6
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
6
2007
High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
6
2015
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
4
2017
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
4
2014
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
4
2016
On the optimal order of integration in Hermite spaces with finite smoothness. Zbl 06862953
Dick, Josef; Irrgeher, Christian; Leobacher, Gunther; Pillichshammer, Friedrich
4
2018
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
3
2005
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
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
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
2
2018
A method for approximate inversion of the hyperbolic CDF. Zbl 1239.65008
Leobacher, Gunther; Pillichshammer, Friedrich
1
2002
Notes on exact and semi-exact Lévy models for the valuation of CDOs. Zbl 1233.91269
Eichler, A.; Leobacher, G.; Zellinger, H.
1
2010
Calibration of financial models using quasi-Monte Carlo. Zbl 1218.91169
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun
1
2011
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
1
2007
On a class of optimization problems emerging when hedging with short term futures contracts. Zbl 1145.91024
Leobacher, Gunther
1
2008
An optimal strategy for hedging with short-term futures contracts. Zbl 1058.91040
Larcher, G.; Leobacher, G.
1
2003
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
1
2015
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
1
2019
Approximation methods for piecewise deterministic Markov processes and their costs. Zbl 1411.91294
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
1
2019
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
12
2018
On the optimal order of integration in Hermite spaces with finite smoothness. Zbl 06862953
Dick, Josef; Irrgeher, Christian; Leobacher, Gunther; Pillichshammer, Friedrich
4
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
13
2017
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
4
2017
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
13
2016
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
4
2016
Integration in Hermite spaces of analytic functions. Zbl 1316.65034
Irrgeher, Christian; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
25
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
8
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
7
2015
High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
6
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
48
2014
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
4
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
17
2012
Fast orthogonal transforms and generation of Brownian paths. Zbl 1256.65009
Leobacher, Gunther
8
2012
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
6
2011
Calibration of financial models using quasi-Monte Carlo. Zbl 1218.91169
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun
1
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
13
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
9
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 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
all top 5

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

Citations by Year