Gunther Leobacher - researchr alias

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Viewing Publication 1 - 22 from 22

2023

2-approximation and integration in weighted Hermite spaces of finite smoothnessGunther Leobacher, Friedrich Pillichshammer, Adrian Ebert. jc, 78:101768, October 2023. [doi]

2018

2016

Utility indifference pricing of derivatives written on industrial loss indicesGunther Leobacher, Philip Ngare. jcam, 300:68-82, 2016. [doi]

2015

2014

A short introduction to quasi-Monte Carlo option pricingGunther Leobacher. In Peter Kritzer, Harald Niederreiter, Friedrich Pillichshammer, Arne Winterhof, editors, Uniform Distribution and Quasi-Monte Carlo Methods - Discrepancy, Integration and Applications. Volume 15 of Radon Series on Computational and Applied Mathematics, pages 191-222, De Gruyter, 2014. [doi]

2012

Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rulesJan Baldeaux, Josef Dick, Gunther Leobacher, Dirk Nuyens, Friedrich Pillichshammer. na, 59(3):403-431, 2012. [doi]

Fast orthogonal transforms for pricing derivatives with quasi-Monte CarloChristian Irrgeher, Gunther Leobacher. wsc 2012: 35 [doi]

Fast orthogonal transforms and generation of Brownian pathsGunther Leobacher. jc, 28(2):278-302, 2012. [doi]

2011

Calibration of financial models using quasi-Monte CarloAndreas Eichler, Gunther Leobacher, Heidrun Zellinger. mcma, 17(2):99-131, 2011. [doi]

2008

On a class of optimization problems emerging when hedging with short term futures contractsGunther Leobacher. mmor, 67(1):65-90, 2008. [doi]

2007

The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital netsLigia L. Cristea, Josef Dick, Gunther Leobacher, Friedrich Pillichshammer. nm, 105(3):413-455, 2007. [doi]

Constructions of general polynomial lattice rules based on the weighted star discrepancyJosef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer. ffa, 13(4):1045-1070, 2007. [doi]

2006

Stratified sampling and quasi-Monte Carlo simulation of Lévy processesGunther Leobacher. mcma, 12(3):231-238, 2006. [doi]

2005

Construction Algorithms for Digital Nets with Low Weighted Star DiscrepancyJosef Dick, Gunther Leobacher, Friedrich Pillichshammer. siamnum, 43(1):76-95, 2005. [doi]

2003

On the tractability of the Brownian Bridge algorithmGerhard Larcher, Gunther Leobacher, Klaus Scheicher. jc, 19(4):511-528, 2003. [doi]

Bounds for the weighted ::::L:::::::p::: discrepancy and tractability of integrationGunther Leobacher, Friedrich Pillichshammer. jc, 19(4):529-547, 2003. [doi]

2002

A Method for Approximate Inversion of the Hyperbolic CDFGunther Leobacher, Friedrich Pillichshammer. computing, 69(4):291-303, 2002. [doi]

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