Prof. Christoph Reisinger | Mathematical Institute

Prof. Christoph Reisinger

Academic Faculty

Associate Professor in Mathematical Finance

Contact Form

Personal Website:

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

+44 1865 615174

Address

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

Highlighted Publications:

Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations
Reisinger, C; Arto, JR;
JOURNAL OF SCIENTIFIC COMPUTING issue 1 volume 72 page 198-230 (July 2017) Full text available

A forward equation for barrier options under the Brunick & Shreve Markovian projection
Hambly, B; Mariapragassam, M; Reisinger, C;
QUANTITATIVE FINANCE issue 6 volume 16 page 827-838 (June 2016) Full text available

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
Reisinger, C; Forsyth, PA;
APPLIED NUMERICAL MATHEMATICS volume 103 page 27-47 (May 2016) Full text available

The Impact of a Natural Time Change on the Convergence of the Crank-Nicolson Scheme
Reisinger, C; Whitley, A;
(19 October 2012)

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
Giles, MB; Reisinger, C;
SIAM JOURNAL ON FINANCIAL MATHEMATICS issue 1 volume 3 page 572-592 (2012) Full text available

Recent Publications:

A mixed monte carlo and partial differential equation variance reduction method for foreign exchange options under the heston-cox-ingersoll-ross model
Cozma, A; Reisinger, C;
Journal of Computational Finance issue 3 volume 20 page 109-149 (1 February 2017)

A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations
Reisinger, C; Süli, E; Whitley, A;
SIAM Journal on Numerical Analysis issue 4 volume 55 page 1867-1891 (26 January 2017)

Numerical analysis of an extended structural default model with mutual liabilities and jump risk
Kaushansky, V; Lipton, A; Reisinger, C;
Journal of Computational Science (1 January 2017)

Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process
Cozma, A; Reisinger, C;
Discrete and Continuous Dynamical Systems - Series B issue 10 volume 21 page 3359-3377 (1 December 2016)

Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, C; Wissmann, R;
JOURNAL OF COMPUTATIONAL FINANCE issue 4 volume 18 page 95-127 (2015) Full text available

Research Group:

Mathematical and Computational Finance

Research Interests:

Numerical analysis:

high-dimensional PDEs
non-linear PDEs (in particular, of HJB-type)
variational inequalities
multilevel and multi-index Monte Carlo
SPDEs (in particular, of Zakai-type)
SDEs (especially non-Lipschitz)

Mathematical and computational finance:

derivative valuation
model calibration (FX, equity, credit)
investment and incomplete markets

Preferred Address:

S1.41, Mathematical Institute, Woodstock Rd, Oxford, OX2 6GG, UK

Further Details:

I am an Associate Professor in Mathematical Finance and Tutorial Fellow in Mathematics at St Catherine's College. I am Co-Editor-in-Chief of Applied Mathematical Finance, and serve on the editorial board of The Journal of Computational Finance and the International Journal of Computer Mathematics. I have a doctorate from the University of Heidelberg in scientific computing and a degree from Linz in applied mathematics.

Teaching:

I teach various Masters level courses in the areas of computational finance, numerical analysis and partial differential equations. I have examined on several Masters programmes and numerous PhD committees at 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.

Major / Recent Publications:

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

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