WIAS Preprint List: Bayer, Christian

• 3068: Bayer, Christian; Pelizzari, Luca; Schoenmakers, John G. M.
  Primal and dual optimal stopping with signatures
  
• 3045: Bayer, Christian; Breneis, Simon
  Efficient option pricing in the rough Heston model using weak simulation schemes
  
• 3044: Bayer, Christian; Breneis, Simon
  Weak Markovian approximations of rough Heston
  
• 3034: Bank, Peter; Bayer, Christian; Friz, Peter; Pelizzari, Luca
  Rough PDEs for local stochastic volatility models
  
• 3013: Bayer, Christian; Breneis, Simon; Lyons, Terry
  An adaptive algorithm for rough differential equations
  
• 2968: Bayer, Christian; Ben Hammouda, Chiheb; Papapantoleon, Antonis; Samet, Michael; Tempone, Raúl
  Optimal damping with hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
  Appeared in: J. Comput. Finance, 27 (2023), pp. 43--86, DOI 10.21314/JCF.2023.012 .
• 2921: Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; Schoenmakers, John G. M.
  RKHS regularization of singular local stochastic volatility McKean--Vlasov models
  
• 2917: Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl F.
  Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
  Appeared in: Quant. Finance, 23 (2023), pp. 209--227, DOI 10.1080/14697688.2022.2135455 .
• 2916: Bayer, Christian; Hall, Eric; Tempone, Raúl F.
  Weak error rates for option pricing under linear rough volatility
  Appeared in: Int. J. Theor. Appl. Finance, 25 (2022), pp. 2250029/1--2250029/47, DOI 10.1142/S0219024922500297 .
• 2868: Bayer, Christian; Breneis, Simon
  Markovian approximations of stochastic Volterra equations with the fractional kernel
  Appeared in: Quant. Finance, 23 (2023), pp. 53--70 (published online on 24.11.2022), DOI 10.1080/14697688.2022.2139193 .
• 2821: Bayer, Christian; Eigel, Martin; Sallandt, Leon; Trunschke, Philipp
  Pricing high-dimensional Bermudan options with hierarchical tensor formats
  Appeared in: SIAM J. Financial Math., 14 (2023), pp. 383--406, DOI 10.1137/21M1402170 .
• 2792: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.; Spokoiny, Vladimir
  Reinforced optimal control
  Appeared in: Comm. Math. Sci., 20 (2022), pp. 1951--1978, DOI 10.4310/CMS.2022.v20.n7.a7 .
• 2790: Bayer, Christian; Hager, Paul; Riedel, Sebastian; Schoenmakers, John G. M.
  Optimal stopping with signatures
  Appeared in: Ann. Appl. Probab., 33 (2023), pp. 238--273, DOI 10.1214/22-AAP1814 .
• 2752: Bayer, Christian; Harang, Fabian; Pigato, Paolo
  Log-modulated rough stochastic volatility models
  Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1257--1284, DOI 10.1137/20M135902X .
• 2745: Bayer, Christian; Qiu, Jinniao; Yao, Yao
  Pricing options under rough volatility with backward SPDEs
  Appeared in: SIAM J. Financial Math., 13 (2022), pp. 179--212, DOI 10.1137/20M1357639 .
• 2732: Bayer, Christian; Friz, Peter; Tapia, Nikolas
  Stability of deep neural networks via discrete rough paths
  Appeared in: SIAM J. Math. Data Sci., 5 (2023), pp. 50--76, DOI 10.1137/22M1472358 .
• 2706: Redmann, Martin; Bayer, Christian; Goyal, Pawan
  Low-dimensional approximations of high-dimensional asset price models
  Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1--28, DOI 10.1137/20M1325666 .
• 2697: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.
  Randomized optimal stopping algorithms and their convergence analysis
  Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1201--1225, DOI 10.1137/20M1373876 .
• 2652: Bayer, Christian; Hammouda, Chiheb Ben; Tempone, Raúl F.
  Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model
  Appeared in: Quant. Finance, published online on 20.04.2020, DOI 10.1080/14697688.2020.1744700 .
• 2651: Bayer, Christian; Tempone , Raúl F.; Wolfers, Sören
  Pricing American options by exercise rate optimization
  Appeared in: Quant. Finance, (2020), Published online on 07.07.2020, DOI 10.1080/14697688.2020.1750678 .
• 2547: Bayer, Christian; Stemper, Benjamin
  Deep calibration of rough stochastic volatility models
  
• 2532: Bayer, Christian; Redmann, Martin; Schoenmakers, John G. M.
  Dynamic programming for optimal stopping via pseudo-regression
  Appeared in: Quant. Finance, (2020), published online 01.09.2020, DOI 10.1080/14697688.2020.1780299 .
• 2506: Bayer, Christian; Belomestny, Denis; Redmann, Martin; Riedel, Sebastian; Schoenmakers, John G. M.
  Solving linear parabolic rough partial differential equations
  Appeared in: J. Math. Anal. Appl., 490 (2020), published online on 15.05.2020, DOI 10.1016/j.jmaa.2020.124236 .
• 2406: Bayer, Christian; Friz, Peter; Gulisashvili, Archil; Horvath, Blanka; Stemper, Benjamin
  Short-time near-the-money skew in rough fractional volatility models
  Appeared in: Quant. Finance, 19 (2019), pp. 779--798 (published online on 13.11.2018), DOI 10.1080/14697688.2018.1529420 .
• 2280: Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul
  Smoothing the payoff for efficient computation of basket option prices
  Appeared in: Quant. Finance, (2017), appeared online, DOI 10.1080/14697688.2017.1308003 .
• 2200: Anker, Felix; Bayer, Christian; Eigel, Martin; Neumann, Johannes; Schoenmakers, John G. M.
  Adaptive SDE based interpolation for random PDEs
  Appeared in: Int. J. Uncertain. Quantif., 7 (2017), pp. 189--205; changed title: A fully adaptive interpolated stochastic sampling method for linear random PDEs
• 2192: Anker, Felix; Bayer, Christian; Eigel, Martin; Ladkau, Marcel; Neumann, Johannes; Schoenmakers, John G. M.
  SDE based regression for random PDEs
  Appeared in: SIAM J. Sci. Comput., 39 (2017) pp. A1168--A1200.
• 2191: Bayer, Christian; Schoenmakers, John G. M.
  Option pricing in affine generalized Merton models
  Appeared in: J.G.M. Schoenmakers, Ch. Bayer, Option pricing in affine generalized Merton models, J. Kallsen, A. Papapantoleon , eds., Springer Proceedings in Mathematics & Statistics, Springer International Publishing , Switzerland, 2016, pp. 219--239
• 2072: Bayer, Christian; Oberhauser, Harald
  Splitting methods for SPDEs: From robustness to financial engineering, optimal control and nonlinear filtering
  Appeared in: Splitting Methods in Communication, Imaging, Science, and Engineering, R. Glowinski, S.J. Osher, W. Yin, eds., Scientific Computation, Springer International P ublishing Switzerland, 2017, pp. 499--539.
• 2071: Bayer, Christian; Friz, Peter; Gatheral, Jim
  Pricing under rough volatility
  Appeared in: Quant. Finance, 16 (2016) pp. 887--904.
• 1954: Bayer, Christian; Horst, Ulrich; Qiu, Jinniao
  A functional limit theorem for limit order books
  Appeared in: Ann. Appl. Probab., 27 (2017) pp. 2753-2806.
• 1907: Bayer, Christian; Mai, Hilmar; Schoenmakers, John G. M.
  Forward-reverse EM algorithm for Markov chains
  Appeared in: Adv. Appl. Probab., 2 (2018), pp. 621--644 , under the new title: Forward-reverse expectation-maximization algorithm for Markov chains: Convergence and numerical analysis, DOI 10.1017/apr.2018.27 .
• 1855: Bayer, Christian; Laurence, Peter
  Asymptotics for at the money local vol basket options
  
• 1796: Bayer, Christian; Friz, Peter; Laurence, Peter
  On the probability density function of baskets
  
• 1787: Bayer, Christian; Friz, Peter; Riedel, Sebastian; Schoenmakers, John G. M.
  From rough path estimates to multilevel Monte Carlo
  Appeared in: SIAM J. Numer. Anal., 54 (2016) pp. 1449--1483.
• 1774: Bayer, Christian; Hoel, Håkon; von Schwerin, Erik; Tempone, Raúl
  On non-asymptotic optimal stopping criteria in Monte Carlo simulations
  
• 1764: Bayer, Christian; Schoenmakers, John G. M.
  Simulation of conditional diffusions via forward-reverse stochastic representations
  Appeared in: Ann. Appl. Probab., 24 (2014) pp. 1994--2032