Christian Bayer

Weierstras Institute for Applied Analysis and Stochastics (WIAS)

Research Scientist

Mohrenstr. 39

Berlin, 10117

Germany

SCHOLARLY PAPERS

4

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3,877

SSRN CITATIONS
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Top 21,360

in Total Papers Citations

36

CROSSREF CITATIONS

10

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 3,299 (3,927)
Citation 32

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 481 (70,354)
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

CESifo Working Paper Series No. 3026
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 64 (405,315)
Citation 1

Abstract:

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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

CESifo Working Paper Series No. 3026-A
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 33 (531,146)
Citation 2

Abstract:

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continuous time uncertainty, Fokker-Planck equation, existence proof