Articles with public access mandates - Christoph ReisingerLearn more
Available somewhere: 31
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
Mandates: UK Engineering and Physical Sciences Research Council
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
Mandates: National Natural Science Foundation of China
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
Mandates: Department of Science & Technology, India
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
Mandates: UK Engineering and Physical Sciences Research Council
Arbitrage-free neural-SDE market models
SN Cohen, C Reisinger, S Wang
Applied Mathematical Finance 30 (1), 1-46, 2023
Mandates: UK Engineering and Physical Sciences Research Council
The effect of nonsmooth payoffs on the penalty approximation of American options
SD Howison, C Reisinger, JH Witte
SIAM Journal on Financial Mathematics 4 (1), 539-574, 2013
Mandates: UK Engineering and Physical Sciences Research Council
Robust calibration of financial models using Bayesian estimators
A Gupta, C Reisinger
J. Comput. Finance 17 (4), 3-36, 2014
Mandates: UK Engineering and Physical Sciences Research Council
Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary
A Lipton, V Kaushansky, C Reisinger
European Journal of Applied Mathematics 32 (6), 1035-1068, 2021
Mandates: UK Economic and Social Research Council
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
A Cozma, M Mariapragassam, C Reisinger
SIAM Journal on Financial Mathematics 10 (1), 181-213, 2019
Mandates: UK Engineering and Physical Sciences Research Council
Detecting and repairing arbitrage in traded option prices
SN Cohen, C Reisinger, S Wang
Applied Mathematical Finance 27 (5), 345-373, 2020
Mandates: UK Engineering and Physical Sciences Research Council
High-order filtered schemes for time-dependent second order HJB equations
O Bokanowski, A Picarelli, C Reisinger
ESAIM: Mathematical Modelling and Numerical Analysis, 2017
Mandates: Government of Italy
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton–Jacobi–Bellman Equations
C Reisinger, JR Arto
Journal of Scientific Computing 27 (1), 198—230, 2017
Mandates: Government of Spain
Well-posedness and numerical schemes for one-dimensional McKean–Vlasov equations and interacting particle systems with discontinuous drift
G Leobacher, C Reisinger, W Stockinger
BIT Numerical Mathematics 62 (4), 1505-1549, 2022
Mandates: Austrian Science Fund
Understanding deep architecture with reasoning layer
X Chen, Y Zhang, C Reisinger, L Song
Advances in Neural Information Processing Systems 33, 1240-1252, 2020
Mandates: US National Science Foundation
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
ER Jakobsen, A Picarelli, C Reisinger
Mandates: Research Council of Norway
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
V Kaushansky, A Lipton, C Reisinger
Journal of computational science 24, 218-231, 2018
Mandates: UK Economic and Social Research Council
A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
A Cozma, C Reisinger
Journal of Computational Finance 20 (3), 109-149, 2015
Mandates: UK Engineering and Physical Sciences Research Council
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
C Reisinger, R Wissmann
Journal of Computational Finance 18 (4), 95-127, 2015
Mandates: UK Engineering and Physical Sciences Research Council
Boundary mesh refinement for semi-Lagrangian schemes
A Picarelli, C Reisinger, JR Arto
Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in …, 2018
Mandates: Government of Spain
Efficient exposure computation by risk factor decomposition
CSL de Graaf, D Kandhai, C Reisinger
Quantitative Finance 18 (10), 1657-1678, 2018
Mandates: Netherlands Organisation for Scientific Research
Publication and funding information is determined automatically by a computer program