67 citations · 296 across the 28 of their papers we have counts for
5 papers · 1 filter
Numerical integration in -Korobov and -cosine spaces
Josef Dick, Peter Kritzer, Gunther Leobacher +1
QMC rules are equal weight quadrature rules for approximating integrals over . One line of research studies the integration error of functions in the unit ball of so-calle…
High-dimensional integration on , weighted Hermite spaces, and orthogonal transforms
Christian Irrgeher, Gunther Leobacher
It has been found empirically that quasi-Monte Carlo methods are often efficient for very high-dimensional problems, that is, with dimension in the hundreds or even thousands. The…
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
Josef Dick, Peter Kritzer, Gunther Leobacher +1
Lattice rules and polynomial lattice rules are quadrature rules for approximating integrals over the -dimensional unit cube. Since no explicit constructions of such quadrature m…
Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher, Philip Ngare
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson p…
Integration in Hermite spaces of analytic functions
Christian Irrgeher, Peter Kritzer, Gunther Leobacher +1
We study integration in a class of Hilbert spaces of analytic functions defined on the . The functions are characterized by the property that their Hermite coefficien…