Christoph Reisinger
Christoph Reisinger
Professor of Applied Mathematics, University of Oxford
Verified email at - Homepage
Cited by
Cited by
Efficient hierarchical approximation of high-dimensional option pricing problems
C Reisinger, G Wittum
SIAM Journal on Scientific Computing 29 (1), 440-458, 2007
Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
C Reisinger
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
MB Giles, C Reisinger
SIAM Journal on Financial Mathematics 3 (1), 572-592, 2012
Stochastic evolution equations in portfolio credit modelling
N Bush, BM Hambly, H Haworth, L Jin, C Reisinger
SIAM Journal on Financial Mathematics 2 (1), 627-664, 2011
Analysis of linear difference schemes in the sparse grid combination technique
C Reisinger
IMA Journal of Numerical Analysis 33 (2), 544-581, 2013
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
C Reisinger, Y Zhang
Analysis and Applications 18 (06), 951-999, 2020
On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options”
C Reisinger, G Wittum
Computing and Visualization in Science 7, 189-197, 2004
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
K Bujok, BM Hambly, C Reisinger
Methodology and Computing in Applied Probability 17, 579-604, 2015
Deep xVA solver--a neural network based counterparty credit risk management framework
C Reisinger
SIAM Journal on Financial Mathematics, 2022
A penalty method for the numerical solution of Hamilton–Jacobi–Bellman (HJB) equations in finance
JH Witte, C Reisinger
SIAM Journal on Numerical Analysis 49 (1), 213-231, 2011
On the use of policy iteration as an easy way of pricing American options
C Reisinger, JH Witte
SIAM Journal on Financial Mathematics 3 (1), 459-478, 2012
Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations
C Reisinger, PA Forsyth
Applied Numerical Mathematics 103, 27-47, 2016
A Neural Network-Based Policy Iteration Algorithm with Global -Superlinear Convergence for Stochastic Games on Domains
K Ito, C Reisinger, Y Zhang
Foundations of Computational Mathematics 21 (2), 331-374, 2021
First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems
J Bao, C Reisinger, P Ren, W Stockinger
Proceedings of the Royal Society A 477 (2245), 20200258, 2021
Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates
A Cozma, M Mariapragassam, C Reisinger
SIAM Journal on Financial Mathematics 9 (1), 127-170, 2018
Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process
A Cozma, C Reisinger
IMA journal of numerical analysis 40 (1), 358-376, 2020
The effect of nonsmooth payoffs on the penalty approximation of American options
SD Howison, C Reisinger, JH Witte
SIAM Journal on Financial Mathematics 4 (1), 539-574, 2013
Numerical valuation of basket credit derivatives in structural jump-diffusion models
K Bujok, C Reisinger
Journal of Computational Finance 15 (4), 115-158, 2012
Modelling bonds and credit default swaps using a structural model with contagion
H Haworth, C Reisinger, W Shaw
Quantitative Finance 8 (7), 669-680, 2008
An adaptive Euler–Maruyama scheme for McKean SDEs with superlinear growth and application to the mean-field FitzHugh–Nagumo model
C Reisinger, W Stockinger
arXiv preprint arXiv:2005.06034, 2020
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