Prof. Christoph Reisinger

Status

Academic Faculty

Professor of Applied Mathematics

+44 1865 615174

Contact form

http://people.maths.ox.ac.uk/reisinge/

Research groups

Address

Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Major / recent publications

For an up-to-date list of publications and preprints see here.

Recent publications

Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates

Bokanowski, O Chassagneux, J Li, X Reisinger, C (25 Jun 2026)

Convergence Rates of Time Discretization in Extended Mean Field Control

Reisinger, C Stockinger, W Tsianni, M Zhang, Y (31 Aug 2025)

Mean-Field Generalisation Bounds for Learning Controls in Stochastic Environments

Baros, B Cohen, S Reisinger, C (21 Aug 2025)

Contagious McKean-Vlasov problems with common noise: from smooth to singular feedback through hitting times

Hambly, B Petronilia, A Reisinger, C Rigger, S Søjmark, A Electronic Journal of Probability volume 30 1-53 (27 May 2025)

Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model

Reisinger, C Tsianni, M (19 Apr 2025)

Teaching

I teach various graduate courses in the areas of stochastic simulation, computational finance, numerical analysis and partial differential equations. I currently serve the department as Director of Gratuate Studies. I have examined on several Masters programmes and numerous PhD committees in and outside Oxford, and was Course Director of the professional MSc in Mathematical Finance at Oxford for over six years. I am a tutor for Applied Mathematics at St Catherine's College, Oxford, and have occasionally served as Director of Studies.

Highlighted publications

A neural network based policy iteration algorithm with global H²-superlinear convergence for stochastic games on domains

REISINGER, C Zhang, Y Ito, K Foundations of Computational Mathematics volume N/A N/A-N/A (18 May 2020)

Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets

Cozma, A Mariapragassam, M Reisinger, C SIAM Journal on Financial Mathematics volume 9 issue 1 127-170 (24 Jan 2018)

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

Reisinger, C Forsyth, P APPLIED NUMERICAL MATHEMATICS volume 103 27-47 (May 2016) http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000371361600002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=4fd6f7d59a501f9b8bac2be37914c43e

The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options

Reisinger, C Howison, S Witte, J SIAM Journal on Financial Mathematics (2013)

Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems

Reisinger, C Witte, J SIAM Journal on Numerical Analysis volume 2 issue 50 595-625 (2012)

Further details

I am Professor of Applied Mathematics at Oxford's Mathematical Institute and Fellow in Mathematics at St Catherine's College. I am Editor-in-Chief of The Journal of Computational Finance, and serve on the editorial board of Applied Mathematics and Optimization and Applied Mathematical Finance.

Research interests

Numerical analysis:

interacting particle systems and McKean--Vlasov equations
deep neural networks and reinforcement learning for stochastic control
non-linear and high-dimensional PDEs (in particular, of HJB-type)
(quasi-)variational inequalities, impulse control
multilevel and multi-index Monte Carlo
SPDEs (in particular, of Zakai-type)
SDEs (especially non-Lipschitz)

Mathematical and computational modeling:

financial derivative valuation, hedging, and risk management
counterparty credit risk (in particular, large pool contagion models)
model calibration (FX, equity, credit)
investment and incomplete markets
mean-field models in neuroscience