Gunther Leobacher

Orcid: 0000-0002-7837-784X

According to our database1, Gunther Leobacher authored at least 24 papers between 2002 and 2023.

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Bibliography

2023
Tractability of <i>L</i><sub>2</sub>-approximation and integration in weighted Hermite spaces of finite smoothness.
J. Complex., October, 2023

2022
Tractability of L<sub>2</sub>-approximation and integration in weighted Hermite spaces of finite smoothness.
CoRR, 2022

2020
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift.
CoRR, 2020

2018
On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness.
SIAM J. Numer. Anal., 2018

Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient.
Numerische Mathematik, 2018

Editorial.
Math. Comput. Simul., 2018

2016
Utility indifference pricing of derivatives written on industrial loss indices.
J. Comput. Appl. Math., 2016

2015
Numerical integration in log-Korobov and log-cosine spaces.
Numer. Algorithms, 2015

A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights.
J. Comput. Appl. Math., 2015

High-dimensional integration on R<sup>d</sup>, weighted Hermite spaces, and orthogonal transforms.
J. Complex., 2015

Integration in Hermite spaces of analytic functions.
J. Complex., 2015

2014
A short introduction to quasi-Monte Carlo option pricing.
Proceedings of the Uniform Distribution and Quasi-Monte Carlo Methods, 2014

2012
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules.
Numer. Algorithms, 2012

Fast orthogonal transforms and generation of Brownian paths.
J. Complex., 2012

Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo.
Proceedings of the Winter Simulation Conference, 2012

2011
Calibration of financial models using quasi-Monte Carlo.
Monte Carlo Methods Appl., 2011

2008
On a class of optimization problems emerging when hedging with short term futures contracts.
Math. Methods Oper. Res., 2008

2007
The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets.
Numerische Mathematik, 2007

Constructions of general polynomial lattice rules based on the weighted star discrepancy.
Finite Fields Their Appl., 2007

2006
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes.
Monte Carlo Methods Appl., 2006

2005
Construction Algorithms for Digital Nets with Low Weighted Star Discrepancy.
SIAM J. Numer. Anal., 2005

2003
Bounds for the weighted <i>L</i><sup>p</sup> discrepancy and tractability of integration.
J. Complex., 2003

On the tractability of the Brownian Bridge algorithm.
J. Complex., 2003

2002
A Method for Approximate Inversion of the Hyperbolic CDF.
Computing, 2002


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