Prof. Christoph Reisinger | Mathematical Institute

Prof. Christoph Reisinger

Academic Faculty

Professor of Applied Mathematics

Contact Form

Personal Website:

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

+44 1865 615174

Address

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

Highlighted Publications:

ERROR ANALYSIS OF TRUNCATED EXPANSION SOLUTIONS TO HIGH-DIMENSIONAL PARABOLIC PDES

ERROR ANALYSIS OF TRUNCATED EXPANSION SOLUTIONS TO HIGH-DIMENSIONAL PARABOLIC PDES
Reisinger, C; Wissmann, R;
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE issue 6 volume 51 page 2435-2463 (18 December 2017) Full text available

Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations

Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations
Reisinger, C; Arto, JR;
JOURNAL OF SCIENTIFIC COMPUTING issue 1 volume 72 page 198-230 (July 2017) Full text available

A forward equation for barrier options under the Brunick & Shreve Markovian projection

A forward equation for barrier options under the Brunick & Shreve Markovian projection
Hambly, B; Mariapragassam, M; Reisinger, C;
QUANTITATIVE FINANCE issue 6 volume 16 page 827-838 (June 2016) Full text available

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

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

On the Use of Policy Iteration as an Easy Way of Pricing American Options

On the Use of Policy Iteration as an Easy Way of Pricing American Options
Reisinger, C; Witte, JH;
SIAM Journal on Financial Mathematics (2012) Full text available

Recent Publications:

Transition probability of Brownian motion in the octant and its application to default modelling

Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, V; Lipton, A; Reisinger, C;
Applied Mathematical Finance page 1-32 (17 June 2018)

HIGH-ORDER FILTERED SCHEMES FOR TIME-DEPENDENT SECOND ORDER HJB EQUATIONS

HIGH-ORDER FILTERED SCHEMES FOR TIME-DEPENDENT SECOND ORDER HJB EQUATIONS
Bokanowski, O; Picarelli, A; Reisinger, C;
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE issue 1 volume 52 page 69-97 (15 May 2018) Full text available

Numerical analysis of an extended structural default model with mutual liabilities and jump risk

Numerical analysis of an extended structural default model with mutual liabilities and jump risk
Kaushansky, V; Lipton, A; Reisinger, C;
JOURNAL OF COMPUTATIONAL SCIENCE volume 24 page 218-231 (January 2018) Full text available

High-order filtered schemes for time-dependent second order HJB equations

High-order filtered schemes for time-dependent second order HJB equations
Bokanowski, O; Picarelli, A; Reisinger, C;
ESAIM: Mathematical Modelling and Numerical Analysis issue 1 volume 52 page 69-97 (1 January 2018)

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 (2018) Full text available

Research Interests:

Numerical analysis:

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

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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