Prof. Christoph Reisinger
Professor of Applied Mathematics
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
S1.41, Mathematical Institute, Woodstock Rd, Oxford, OX2 6GG, UK
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.
- 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
McKean--Vlasov equation arising from the calibration of local-stochastic
problem in the presence of blow-ups
For an up-to-date list of publications and preprints see here.
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.