Christian Bayer

Weierstras Institute for Applied Analysis and Stochastics (WIAS)

Research Scientist

Mohrenstr. 39

Berlin, 10117

Germany

SCHOLARLY PAPERS

4

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Top 14,965

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4,288

SSRN CITATIONS
Rank 23,331

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Top 23,331

in Total Papers Citations

39

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Christian Bayer, Peter Friz and Jim Gatheral
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 3,699 (3,638)
Citation 35

Abstract:

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Fractional Brownian motion, volatility forecasting, option pricing, volatility surface, VIX, VVIX, variance swap curve, Flash Crash, Lehman Brothers collapse, Bergomi-Guyon expansion

2.

Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model

Quantitative Finance, Vol. 13, No. 11, pp.1813-1829, 2013
Number of pages: 38 Posted: 02 Feb 2013 Last Revised: 13 Jan 2014
Christian Bayer, Jim Gatheral and Morten Karlsmark
Weierstras Institute for Applied Analysis and Stochastics (WIAS), CUNY Baruch College and University of Copenhagen - Department of Mathematical Sciences
Downloads 487 (75,037)
Citation 3

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Stochastic volatility, double mean reverting, Cubature, second order Monte Carlo schemes

3.

Matching and Saving in Continuous Time: Theory

Number of pages: 32 Posted: 02 May 2010
Christian Bayer and Klaus Wälde
Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Mainz
Downloads 68 (419,728)
Citation 1

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matching model, optimal saving, incomplete markets, Poisson uncertainty, Fokker-Planck equations, general equilibrium

4.

Matching and Saving in Continuous Time: Proofs

Number of pages: 31 Posted: 04 May 2010
Christian Bayer and Klaus Wälde
Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Mainz
Downloads 34 (561,443)
Citation 2

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continuous time uncertainty, Fokker-Planck equation, existence proof