Dr Christoph Reisinger
 Dr Christoph Reisinger
eMail:
Christoph [dot] Reisinger [-at-] maths [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 1865 273525 Office: DH37 Departmental Address:
Mathematical Institute |
Research Interests:
I am a University Lecturer in Mathematical Finance and Tutorial Fellow in Mathematics at St Catherine's College. My doctorate from the University of Heidelberg is in scientific computing, my first degree from Linz in applied mathematics. Current research includes, mathematically, the numerical analysis of high-dimensional PDEs, non-linear PDEs and variational inequalities, simulation of SPDEs, Bayesian techniques for parameter estimation problems. Application areas include the pricing of equity and credit basket derivatives, calibration of financial instruments, early-exercise options and valuation and investment in incomplete markets Major/Recent Publications:
J.H. Witte, C. Reisinger, A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance, SIAM Journal of Numerical Analysis, 49(1), pp213--231, 2011. [Link to preprint version.] N. Bush, B.M. Hambly, H. Haworth, L. Jin, C. Reisinger, Stochastic Evolution Equations in Portfolio Credit Modelling, SIAM Journal on Financial Mathematics, 2(1), 627--664, 2011. [Link to preprint version with applications to exotic credit products.] H. Haworth, C. Reisinger, W. Shaw: Modelling Bonds and Credit Default Swaps C. Reisinger, G. Wittum: Efficient Hierarchical Approximation of High-Dimensional Option Pricing Problems, SIAM Journal on Scientific Computing (2007). |
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