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

Highlighted Publications:

A neural network based policy iteration algorithm with global H²-superlinear convergence for stochastic games on domains

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 page 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

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 issue 1 volume 9 page 127-170 (24 January 2018)

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
Reisinger, C; Forsyth, P
APPLIED NUMERICAL MATHEMATICS volume 103 page 27-47 (May 2016) Full text available

The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options

The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Reisinger, C; Howison, SD; Witte, J-H
SIAM Journal on Financial Mathematics (2013)

Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems

Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Reisinger, C; Witte, JH
SIAM Journal on Numerical Analysis issue 50 volume 2 page 595-625 (2012)

Recent Publications:

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, A; Mariapragassam, M; Reisinger, C
Journal of Computational Finance (26 March 2021)

Detecting and repairing arbitrage in traded option prices

Detecting and repairing arbitrage in traded option prices
Cohen, S; Wang, S; Reisinger, C
Applied Mathematical Finance issue 5 volume 27 page 345-373 (8 February 2021)

Detecting and Repairing Arbitrage in Traded Option Prices

Detecting and Repairing Arbitrage in Traded Option Prices
Cohen, S; Reisinger, C; Wang, S
Applied Mathematical Finance page 1-29 (8 February 2021)

A numerical scheme for the quantile hedging problem

A numerical scheme for the quantile hedging problem
Bénézet, C; Chassagneux, J; Reisinger, C
SIAM Journal on Financial Mathematics issue 1 volume 12 page 110-157 (1 February 2021)

First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems

First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Reisinger, C; Stockinger, W
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences volume 477 (6 January 2021)

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

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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