Christian Bayer

Weierstras Institute for Applied Analysis and Stochastics (WIAS)

Research Scientist

Mohrenstr. 39

Berlin, 10117

Germany

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 14,131

SSRN RANKINGS

Top 14,131

in Total Papers Downloads

3,313

SSRN RANKINGS

Top 36,076

in Total Papers Citations

5

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

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 2,769 (4,088)

Abstract:

Loading...

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 459 (60,488)

Abstract:

Loading...

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 56 (362,266)

Abstract:

Loading...

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 29 (463,509)

Abstract:

Loading...

continuous time uncertainty, Fokker-Planck equation, existence proof