Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
Haworth, H
Reisinger, C
Shaw, W
(03 Oct 2007)
doi:10.48550/arxiv.0710.0753
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Witte, J
Reisinger, C
(02 Aug 2010)
doi:10.48550/arxiv.1008.0401
Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
Lipton, A
Kaushansky, V
Reisinger, C
(15 Aug 2018)
doi:10.48550/arxiv.1808.05311
A numerical scheme for the quantile hedging problem
Bénézet, C
Chassagneux, J
Reisinger, C
(28 Feb 2019)
doi:10.48550/arxiv.1902.11228
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Reisinger, C
Witte, J
(22 Dec 2010)
doi:10.48550/arxiv.1012.4976
Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
Bush, N
Hambly, B
Haworth, H
Jin, L
Reisinger, C
(25 Mar 2011)
doi:10.48550/arxiv.1103.4947
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Witte, J
Reisinger, C
(30 May 2011)
doi:10.48550/arxiv.1105.5954
Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
Reisinger, C
Wissmann, R
(10 Sep 2012)
doi:10.48550/arxiv.1209.1909
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Bujok, K
Hambly, B
Reisinger, C
(04 Nov 2012)
doi:10.48550/arxiv.1211.0707
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Hambly, B
Mariapragassam, M
Reisinger, C
(13 Nov 2014)
doi:10.48550/arxiv.1411.3618