Modeling basket credit default swaps with default contagion
Haworth, H
Reisinger, C
The Journal of Credit Risk
volume 3
issue 4
31-67
(2007)
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Cozma, A
Mariapragassam, M
Reisinger, C
(21 Jan 2017)
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
Cozma, A
Reisinger, C
(22 Jun 2017)
Transition probability of Brownian motion in the octant and its application to default modeling
Kaushansky, V
Lipton, A
Reisinger, C
(31 Dec 2017)
Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs
Reisinger, C
Wissmann, R
High-Performance Computing in Finance
175-195
(21 Feb 2018)
Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
Haworth, H
Reisinger, C
Shaw, W
(03 Oct 2007)
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Witte, J
Reisinger, C
(02 Aug 2010)
Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
Lipton, A
Kaushansky, V
Reisinger, C
(15 Aug 2018)
A numerical scheme for the quantile hedging problem
Bénézet, C
Chassagneux, J
Reisinger, C
(28 Feb 2019)
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Reisinger, C
Witte, J
(22 Dec 2010)