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Photo of Prof. Christoph Reisinger

Prof. Christoph Reisinger

Status
Academic Faculty

Professor of Applied Mathematics

Contact form
http://people.maths.ox.ac.uk/reisinge/
+44 1865 615174
Research groups
  • Mathematical and Computational Finance
  • Data Science

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

Highlighted publications
A neural network based policy iteration algorithm with global H²-superlinear convergence for stochastic games on domains
REISINGER, C Zhang, Y Ito, K Foundations of Computational Mathematics volume N/A N/A-N/A (18 May 2020)
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
Cozma, A Mariapragassam, M Reisinger, C SIAM Journal on Financial Mathematics volume 9 issue 1 127-170 (24 Jan 2018)
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
Reisinger, C Forsyth, P APPLIED NUMERICAL MATHEMATICS volume 103 27-47 (May 2016) http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000371361600002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=4fd6f7d59a501f9b8bac2be37914c43e
The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Reisinger, C Howison, S Witte, J SIAM Journal on Financial Mathematics (2013)
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Reisinger, C Witte, J SIAM Journal on Numerical Analysis volume 2 issue 50 595-625 (2012)
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.

Research interests

Numerical analysis:

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

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
Recent publications
Convergence of the Euler--Maruyama particle scheme for a regularised
McKean--Vlasov equation arising from the calibration of local-stochastic
volatility models
Reisinger, C Tsianni, M (01 Feb 2023) http://arxiv.org/abs/2302.00434v1
Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
Kumar, C Neelima Reisinger, C Stockinger, W Annals of Applied Probability volume 32 issue 5 3283-3330 (18 Oct 2022)
Implicit and fully discrete approximation of the supercooled Stefan
problem in the presence of blow-ups
Cuchiero, C Reisinger, C Rigger, S (29 Jun 2022) http://arxiv.org/abs/2206.14641v1
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
Reisinger, C Stockinger, W BIT Numerical Mathematics volume 62 1505-1549 (18 May 2022)
Estimating risks of option books using neural-SDE market models
Cohen, S Reisinger, C Wang, S (15 Feb 2022) http://arxiv.org/abs/2202.07148v1
Major / recent publications

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

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.

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