Christian Bayer

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Raul TemponeProfessor of Applied Mathematics, Alexander von Humboldt Professor RWTH-Aachen & KAUSTVerified email at kaust.edu.sa
Peter K. FrizProfessor of Mathematics, TU and WIAS BerlinVerified email at math.tu-berlin.de
Jim GatheralProfessor of Mathematics, Baruch College, CUNYVerified email at baruch.cuny.edu
Josef TeichmannETH ZurichVerified email at math.ethz.ch
Chiheb Ben HammoudaAssistant Professor, Mathematical Institute, Utrecht UniversityVerified email at uu.nl
Benjamin StemperGrey Swan FinanceVerified email at squarepoint-capital.com
Blanka HorvathUniversity of OxfordVerified email at maths.ox.ac.uk
Simon BreneisWIAS BerlinVerified email at wias-berlin.de
Martin EigelWeierstrass Institute for Applied Analysis and Stochastics BerlinVerified email at wias-berlin.de
Sebastian RiedelFernUniversität HagenVerified email at fernuni-hagen.de
Prof. Dr. Denis BelomestnyDuisburg-Essen UniversityVerified email at uni-due.de
Peter LaurenceProfessor of Applied Mathematics, Universita di Roma 1 and Courant Institute, NYUVerified email at courant.nyu.edu
Antoine JacquierImperial College LondonVerified email at imperial.ac.uk
Paul HagerTechnische Universität BerlinVerified email at math.tu-berlin.de
Håkon HoelUniversity of OsloVerified email at math.uio.no
Jinniao QiuAssociate Professor at the Department of Mathematics & Statistics, University of CalgaryVerified email at ucalgary.ca
Paolo PigatoUniversity of Rome Tor VergataVerified email at uniroma2.eu
Mehdi Tomas, PhDCapital Fund ManagementVerified email at cfm.fr
Aitor Muguruza GonzalezVisiting Lecturer at Imperial College LondonVerified email at ic.ac.uk
Paul GassiatMaître de conférences, CEREMADE, Université Paris DauphineVerified email at ceremade.dauphine.fr

Christian Bayer

Research fellow, Weierstrass Institute, Berlin

Verified email at wias-berlin.de - Homepage

Computational finance Numerical Analysis Stochastic differential equations Monte Carlo


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Pricing under rough volatility C Bayer, P Friz, J Gatheral Quantitative Finance 16 (6), 887-904, 2016	606	2016
The proof of Tchakaloff’s theorem C Bayer, J Teichmann Proceedings of the American mathematical society 134 (10), 3035-3040, 2006	156	2006
On deep calibration of (rough) stochastic volatility models C Bayer, B Horvath, A Muguruza, B Stemper, M Tomas arXiv preprint arXiv:1908.08806, 2019	106	2019
A regularity structure for rough volatility C Bayer, PK Friz, P Gassiat, J Martin, B Stemper Mathematical Finance 30 (3), 782-832, 2020	100	2020
Short-time near-the-money skew in rough fractional volatility models C Bayer, PK Friz, A Gulisashvili, B Horvath, B Stemper Quantitative Finance 19 (5), 779-798, 2019	87	2019
Large deviations and asymptotic methods in finance PK Friz, J Gatheral, A Gulisashvili, A Jacquier, J Teichmann Springer, 2015	56	2015
From rough path estimates to multilevel Monte Carlo C Bayer, PK Friz, S Riedel, J Schoenmakers SIAM Journal on Numerical Analysis 54 (3), 1449-1483, 2016	54	2016
Fast Ninomiya–Victoir calibration of the double-mean-reverting model C Bayer, J Gatheral, M Karlsmark Quantitative Finance 13 (11), 1813-1829, 2013	48	2013
Asymptotics beats Monte Carlo: The case of correlated local vol baskets C Bayer, P Laurence Communications on Pure and Applied Mathematics 67 (10), 1618-1657, 2014	40	2014
Optimal stopping with signatures C Bayer, PP Hager, S Riedel, J Schoenmakers The Annals of Applied Probability 33 (1), 238-273, 2023	39	2023
Smoothing the payoff for efficient computation of basket option prices C Bayer, M Siebenmorgen, R Tempone Quantitative Finance 18 (3), 491-505, 2018	39	2018
A functional limit theorem for limit order books with state dependent price dynamics C Bayer, U Horst, J Qiu	39	2017
Markovian approximations of stochastic Volterra equations with the fractional kernel C Bayer, S Breneis Quantitative Finance 23 (1), 53-70, 2023	38	2023
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model C Bayer, C Ben Hammouda, R Tempone Quantitative Finance 20 (9), 1457-1473, 2020	37	2020
Pricing American options by exercise rate optimization C Bayer, R Tempone, S Wolfers Quantitative Finance 20 (11), 1749-1760, 2020	33	2020
On nonasymptotic optimal stopping criteria in Monte Carlo simulations C Bayer, H Hoel, E Von Schwerin, R Tempone SIAM Journal on Scientific Computing 36 (2), A869-A885, 2014	33	2014
Pricing options under rough volatility with backward SPDEs C Bayer, J Qiu, Y Yao SIAM Journal on Financial Mathematics 13 (1), 179-212, 2022	32	2022
Cubature on Wiener space in infinite dimension C Bayer, J Teichmann Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2008	31	2008
Semi-closed form cubature and applications to financial diffusion models C Bayer, P Friz, R Loeffen Quantitative Finance 13 (5), 769-782, 2013	29	2013
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing C Bayer, C Ben Hammouda, R Tempone Quantitative Finance 23 (2), 209-227, 2023	27	2023

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