Christoph Reisinger

Associate Professor in Mathematical Finance, University of Oxford

University Lecturer in Mathematical Finance at the Mathematical Institute, University of Oxford.Research Interests: Modelling of Financial Markets and the Development, Analysis and Implementation of Efficient Methods for Derivative Pricing

Related Events

Stochastic Differential Equations: Numerical Algorithms and Applications

Working Paper

Reisinger, C. and Gupta, A. (2011). Robust calibration of financial models using Bayesian estimators.
Witte, J.H. and Reisinger, C. (2010). On the penalisation error for American options in a jump model.
Witte, J.H. and Reisinger, C. (2010). On the use of policy iteration as an easy way of pricing American options .
Witte, J.H. and Reisinger, C. (2010). A penalty method for the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations in finance.
Cozma, A., Mariapragassam, M. and Reisinger, C. (2017). Calibration of a four-factor hybrid local-stochastic volatility model with a new control variate particle method.
Kaushansky, V., Lipton, A. and Reisinger, C. (2017). Numerical analysis of an extended structural default model with mutual liabilities and jump risk.
de Graaf, C.S., Kandhai, D. and Reisinger, C. (2016). Efficient exposure computation by risk factor decomposition.
Cozma, A., Mariapragassam, M. and Reisinger, C. (2015). Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates.

Published Research

Reisinger, C. (2013). Analysis of linear difference schemes in the sparse grid combination technique. IMA Journal Numerical Analysis. 33 (2). 544-581.
Reisinger, C. (2012). Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener. Internat J Comput Math. 89 (18). 2562-2575.
Hambly, B.M., Bush, N., Haworth, H., Jin, L. and Reisinger, C. (2009). Stochastic evolution equations in portfolio credit modelling. SIAM Journal of Financial Mathematics. 2 (1). 627-664.
Haworth, H., Reisinger, C. and Shaw, W. (2008). Modelling bonds and credit default swaps using a structural model of contagion. Quantitative Finance. 8 (7). 669-680.
Haworth, H. and Reisinger, C. (2007). Modelling basket credit default swaps with default contagion. Journal of Credit Risk. 3 (4). tba.
Hambly, B., Mariapragassam, M. and Reisinger, C. (2015). A forward equation for barrier options under the Brunick&Shreve Markovian projection. Quantitative Finance. Forthcoming. Forthcoming.