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Photo of Prof. Christoph Reisinger

Prof. Christoph Reisinger

Status
Academic Faculty

Professor of Applied Mathematics

+44 1865 615174
Contact form
http://people.maths.ox.ac.uk/reisinge/
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
Major / recent publications

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

Recent publications
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–Vlasov equations and interacting particle systems
Bao, J Reisinger, C Ren, P Stockinger, W IMA Journal of Numerical Analysis (05 Sep 2023)
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem (Apr 2023, 10.1107/s10479-023-05293-7)
Cuchiero, C Reisinger, C Rigger, S ANNALS OF OPERATIONS RESEARCH 1-1 (24 May 2023)
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
Cuchiero, C Reisinger, C Rigger, S Annals of Operations Research (29 Apr 2023)
Deep xVA solver -- a neural network based counterparty credit risk management framework
Gnoatto, A Picarelli, A Reisinger, C SIAM Journal on Financial Mathematics volume 14 issue 1 314-352 (30 Mar 2023)
Estimating risks of European option books using neural-SDE market models
Cohen, S Reisinger, C Wang, S Journal of Computational Finance volume 26 issue 3 33-72 (07 Mar 2023)
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
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

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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Stonewall Silver Employer 2022 Athena SWAN Silver Award (ECU Gender Charter) London Mathematical Society Good Practice Scheme
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