دنبال کردن
Christoph Reisinger
Christoph Reisinger
Professor of Applied Mathematics, University of Oxford
ایمیل تأیید شده در maths.ox.ac.uk - صفحهٔ اصلی
عنوان
نقل شده توسط
نقل شده توسط
سال
Efficient hierarchical approximation of high-dimensional option pricing problems‏
C Reisinger, G Wittum‏
SIAM Journal on Scientific Computing 29 (1), 440-458, 2007‏
1352007
Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben‏
C Reisinger‏
1002004
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance‏
MB Giles, C Reisinger‏
SIAM Journal on Financial Mathematics 3 (1), 572-592, 2012‏
952012
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems‏
C Reisinger, Y Zhang‏
Analysis and Applications 18 (06), 951-999, 2020‏
912020
Stochastic evolution equations in portfolio credit modelling‏
N Bush, BM Hambly, H Haworth, L Jin, C Reisinger‏
SIAM Journal on Financial Mathematics 2 (1), 627-664, 2011‏
882011
Analysis of linear difference schemes in the sparse grid combination technique‏
C Reisinger‏
IMA Journal of Numerical Analysis 33 (2), 544-581, 2013‏
772013
On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options”‏
C Reisinger, G Wittum‏
Computing and Visualization in Science 7, 189-197, 2004‏
742004
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives‏
K Bujok, BM Hambly, C Reisinger‏
Methodology and Computing in Applied Probability 17, 579-604, 2015‏
592015
Deep xva solver: A neural network–based counterparty credit risk management framework‏
A Gnoatto, A Picarelli, C Reisinger‏
SIAM Journal on Financial Mathematics 14 (1), 314-352, 2023‏
582023
A Neural Network-Based Policy Iteration Algorithm with Global -Superlinear Convergence for Stochastic Games on Domains‏
K Ito, C Reisinger, Y Zhang‏
Foundations of Computational Mathematics 21 (2), 331-374, 2021‏
502021
First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems‏
J Bao, C Reisinger, P Ren, W Stockinger‏
Proceedings of the Royal Society A 477 (2245), 20200258, 2021‏
49*2021
An adaptive Euler–Maruyama scheme for McKean SDEs with superlinear growth and application to the mean-field FitzHugh–Nagumo model‏
C Reisinger, W Stockinger‏
arXiv preprint arXiv:2005.06034, 2020‏
45*2020
On the use of policy iteration as an easy way of pricing American options‏
C Reisinger, JH Witte‏
SIAM Journal on Financial Mathematics 3 (1), 459-478, 2012‏
442012
Well-posedness and tamed schemes for McKean–Vlasov equations with common noise‏
C Kumar, Neelima, C Reisinger, W Stockinger‏
The Annals of Applied Probability 32 (5), 3283-3330, 2022‏
422022
A penalty method for the numerical solution of Hamilton–Jacobi–Bellman (HJB) equations in finance‏
JH Witte, C Reisinger‏
SIAM Journal on Numerical Analysis 49 (1), 213-231, 2011‏
422011
Arbitrage-free neural-SDE market models‏
SN Cohen, C Reisinger, S Wang‏
Applied Mathematical Finance 30 (1), 1-46, 2023‏
392023
Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations‏
C Reisinger, PA Forsyth‏
Applied Numerical Mathematics 103, 27-47, 2016‏
372016
Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process‏
A Cozma, C Reisinger‏
IMA journal of numerical analysis 40 (1), 358-376, 2020‏
352020
Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates‏
A Cozma, M Mariapragassam, C Reisinger‏
SIAM Journal on Financial Mathematics 9 (1), 127-170, 2018‏
32*2018
Numerical valuation of basket credit derivatives in structural jump-diffusion models‏
K Bujok, C Reisinger‏
Journal of Computational Finance 15 (4), 115-158, 2012‏
312012
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مقاله‌ها 1–20