Prof. Christoph Reisinger

Status

Academic Faculty

Professor of Applied Mathematics

+44 1865 615174

Contact form

http://people.maths.ox.ac.uk/reisinge/

Research groups

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

Randomness and early termination: what makes a game exciting?

Guo, G Howison, S Possamai, D Reisinger, C Probability Theory and Related Fields (02 Dec 2024)

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 Monte Carlo and Quasi-Monte Carlo Methods: MCQMC 2022, Linz, Austria, July 17–22 561-582 (13 Jul 2024)

Markov decision processes with observation costs: framework and computation with a penalty scheme

Reisinger, C Tam, J Mathematics of Operations Research (23 May 2024)

Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups

Cuchiero, C Reisinger, C Rigger, S SIAM Journal on Numerical Analysis volume 62 issue 3 1145-1170 (09 May 2024)

An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients

Biswas, S Kumar, C Neelima Dos Reis, G Reisinger, C Annals of Applied Probability volume 34 issue 2 2326-2363 (03 Apr 2024)

Further details

I am Professor of Applied Mathematics at Oxford's Mathematical Institute and 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 Mathematics and Optimization and Applied Mathematical Finance.

Research interests

Numerical analysis:

interacting particle systems and McKean--Vlasov equations
deep neural networks and reinforcement learning for stochastic control
non-linear and high-dimensional 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 modeling:

financial derivative valuation, hedging, and risk management
counterparty credit risk (in particular, large pool contagion models)
model calibration (FX, equity, credit)
investment and incomplete markets
mean-field models in neuroscience

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 graduate courses in the areas of stochastic simulation, computational finance, numerical analysis and partial differential equations. I currently serve the department as Director of Gratuate Studies. I have examined on several Masters programmes and numerous PhD committees in 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.