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## Leobacher, Gunther

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 Author ID: leobacher.gunther Published as: Leobacher, G.; Leobacher, Gunther External Links: MGP · Wikidata · ORCID
 Documents Indexed: 35 Publications since 2002, including 1 Book
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#### Co-Authors

 3 single-authored 15 Pillichshammer, Friedrich 8 Dick, Josef 7 Szölgyenyi, Michaela 6 Kritzer, Peter 3 Eichler, Andreas 3 Irrgeher, Christian 3 Larcher, Gerhard 3 Thonhauser, Stefan 2 Cristea, Ligia-Loreta 2 Ngare, Philip 2 Zellinger, Heidrun 1 Baldeaux, Jan 1 Cristea, Ligia-Loretta 1 Drmota, Michael 1 Grabner, Peter J. 1 Hellekalek, Peter 1 Hofer, Roswitha 1 Krizer, Peter 1 Larchner, Gerhard 1 Nuyens, Dirk 1 Scheicher, Klaus 1 Schell, Thomas 1 Tichy, Robert Franz 1 Winterhof, Arne
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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 BIT 1 Computing 1 Monatshefte für Mathematik 1 Internationale Mathematische Nachrichten 1 Mathematica Pannonica 1 The Annals of Applied Probability 1 Surveys on Mathematics for Industry 1 Finite Fields and their Applications 1 Applied Mathematical Finance 1 Electronic Communications in Probability 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

 26 Numerical analysis (65-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Probability theory and stochastic processes (60-XX) 8 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) 1 History and biography (01-XX) 1 Approximations and expansions (41-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Operations research, mathematical programming (90-XX)

#### 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
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
Construction algorithms for digital nets with low weighted star discrepancy. Zbl 1084.11040
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2005
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
2016
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
A strong order $$1/2$$ method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
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
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
2007
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
2006
On the tractability of the Brownian bridge algorithm. Zbl 1230.65004
Larcher, G.; Leobacher, G.; Scheicher, K.
2003
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
2018
High-dimensional integration on $$\mathbb{R}^d$$, weighted Hermite spaces, and orthogonal transforms. Zbl 1309.65029
Irrgeher, Christian; Leobacher, Gunther
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
On modelling and pricing rainfall derivatives with seasonality. Zbl 1217.91184
Leobacher, Gunther; Ngare, Philip
2011
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
2017
Utility indifference pricing of derivatives written on industrial loss indices. Zbl 1331.91100
Leobacher, Gunther; Ngare, Philip
2016
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2014
Quasi-Monte Carlo and Monte Carlo methods and their application in finance. Zbl 1160.65300
Larcher, Gerhard; Leobacher, Gunther
2005
On the length of arcs in labyrinth fractals. Zbl 1391.28008
Cristea, Ligia L.; Leobacher, Gunther
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
2013
Constructions of general polynomial lattice rules based on the weighted star discrepancy. Zbl 1132.11039
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2007
Numerical integration in log-Korobov and log-cosine spaces. Zbl 1339.65008
Dick, Josef; Kritzer, Peter; Leobacher, Gunther; Pillichshammer, Friedrich
2015
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
Randomized Smolyak algorithms based on digital sequences for multivariate integration. Zbl 1134.65006
Dick, Josef; Leobacher, Gunther; Pillichshammer, Friedrich
2007
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
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 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
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
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
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
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 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
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#### 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
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#### Cited in 25 Fields

 95 Numerical analysis (65-XX) 33 Number theory (11-XX) 31 Probability theory and stochastic processes (60-XX) 30 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Approximations and expansions (41-XX) 9 Functional analysis (46-XX) 9 Statistics (62-XX) 9 Computer science (68-XX) 4 Systems theory; control (93-XX) 3 Measure and integration (28-XX) 3 Ordinary differential equations (34-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Partial differential equations (35-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Information and communication theory, circuits (94-XX) 1 Field theory and polynomials (12-XX) 1 Real functions (26-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Geometry (51-XX) 1 General topology (54-XX) 1 Quantum theory (81-XX) 1 Operations research, mathematical programming (90-XX)

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