Prof. Christoph Reisinger | Mathematical Institute

Prof. Christoph Reisinger

Status:

Academic Faculty

Professor of Applied Mathematics

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Personal website:

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

+44 1865 615174

ORCID iD:

https://orcid.org/0000-0003-4027-5298

Research groups:

Address

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

Recent Publications:

Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models

Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
REISINGER, C; COZMA, A
SIAM Journal on Numerical Analysis (11 December 2019)

A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates

A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
REISINGER, C; Zhang, Y
SIAM Journal on Numerical Analysis (9 July 2019)

Simulation of a simple particle system interacting through hitting times

Simulation of a simple particle system interacting through hitting times
REISINGER, C; Kaushansky, V
Discrete and Continuous Dynamical Systems - Series B (30 April 2019)

Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method

Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
REISINGER, C; COZMA, A; Mariapragassam, M
SIAM Journal on Financial Mathematics (7 March 2019)

Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps

Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps
Dumitrescu, R; Reisinger, C; Zhang, Y
Applied Mathematics and Optimization (1 January 2019)

Research interests:

Numerical analysis:

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

Mathematical and computational finance:

derivative valuation and counterparty credit risk (in particular, large pool contagion models)
quantification of hedging errors
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 Professor of Applied Mathematics at Oxford's Mathematical Institute and Tutorial 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 Mathematical Finance and the International Journal of Computer 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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