Christian Bayer
Christian Bayer's research focuses on financial mathematics and stochastic numerics, including modelling stock indices and numerical approximation of stochastic optimal control problems.
Biography
Christian Bayer works in the "Stochastic Algorithms and Nonparametric Statistics" research group at the Weierstraß Institute for Applied Analysis and Stochastics. He is part of the DFG International Research Training Group IRTG 2544 Stochastic Analysis in Interaction, the DFG CRC/TRR 388 Rough Analysis, Stochastic Dynamics and Related Fields. He is also a member of Math+, the Berlin cluster of excellence.
Research Interests
Christian Bayer's main research interests are financial mathematics and stochastic numerics. Currently, he is focusing on modelling stock indices consistently with respect to the implied volatility surface and the volatility index. He is also working on rough volatility models and numerical approximation of stochastic optimal control problems, particularly optimal stopping.