C. Reisinger

发表

A Bayesian Approach to

A. Gupta, C. Reisinger, 1997 .

Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives

C. Reisinger, B. Hambly, Karolina Bujok, 2012, 1211.0707.

A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers

Christoph Reisinger, Yufei Zhang, C. Reisinger, 2018 .

DUALITY-BASED A POSTERIORI ERROR ESTIMATES FOR SOME APPROXIMATION SCHEMES FOR CONVEX OPTIMAL CONTROL PROBLEMS

C. Reisinger, A. Picarelli, 2017 .

Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

C. Reisinger, A. Lipton, Vadim Kaushansky, 2018, European Journal of Applied Mathematics.

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

C. Reisinger, Alan Bain, Matthieu Mariapragassam, 2019, The Journal of Computational Finance.

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

C. Reisinger, M. Giles, 2012, SIAM J. Financial Math..

N A ] 5 J un 2 01 9 A neural network based policy iteration algorithm with global H 2-superlinear convergence for stochastic games on domains

C. Reisinger, K. Ito, Yufei Zhang, 2019 .

A neural network based policy iteration algorithm with global H2-superlinear convergence for stochastic games on domains pdf

Kazufumi Ito, Christoph Reisinger, Yufei Zhang, 2019, Found. Comput. Math..

Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

C. Reisinger, Zhenru Wang, 2018, BIT Numerical Mathematics.

Regular article On multigrid for anisotropic equations and variational inequalities

C. Reisinger, G. Wittum, 2004 .

On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options”

Gabriel Wittum, Christoph Reisinger, C. Reisinger, 2004 .

Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process

Christoph Reisinger, Andrei Cozma, C. Reisinger, 2017, IMA Journal of Numerical Analysis.

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

Christoph Reisinger, Ben Hambly, Matthieu Mariapragassam, 2014, 1411.3618.

Model Uncertainty and its Impact on Derivative Pricing ∗

A. Gupta, C. Reisinger, A. Whitley, 2010 .

Asymptotic Expansion Around Principal Components and the Complexity of Dimension Adaptive Algorithms

C. Reisinger, 2012 .

Stability and convergence of second order backward differentiation schemes for parabolic Hamilton–Jacobi–Bellman equations

C. Reisinger, O. Bokanowski, A. Picarelli, 2018, Numerische Mathematik.

Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines

C. Reisinger, Daniel Jones, David Walsh-Jones, 2014, 1411.4970.

Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains

C. Reisinger, A. Picarelli, Julen Rotaetxe Arto, 2017 .

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

C. Reisinger, O. Bokanowski, A. Picarelli, 2016, 1611.04939.

Regularity and stability of feedback relaxed controls pdf

Yufei Zhang, Christoph Reisinger, C. Reisinger, 2020, SIAM Journal on Control and Optimization.

Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations

C. Reisinger, Zhenru Wang, 2019, 1904.08334.

Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs

C. Reisinger, R. Wissmann, 2015, 1505.04639.

Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions

C. Reisinger, R. Wissmann, 2012, 1209.1909.

Valuation of Basket Credit Derivatives in Structural Jump-Diusion Models

C. Reisinger, Karolina Bujok, K. Bujok, 2011 .

Hedging Option Books Using Neural-SDE Market Models

Samuel N. Cohen, C. Reisinger, Sheng Wang, 2022, SSRN Electronic Journal.

A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model

C. Reisinger, A. Cozma, 2015, 1509.01479.

Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling

C. Reisinger, A. Lipton, Vadim Kaushansky, 2017, Applied Mathematical Finance.

A mixed Monte Carlo/PDE variance reduction method under the Heston-CIR model

C. Reisinger, A. Cozma, 2015 .

Calibration of a Hybrid Local-Stochastic Volatility

C. Reisinger, Matthieu Mariapragassam, A. Cozma, 2018 .

STRONG CONVERGENCE RATES FOR EULER APPROXIMATIONS

C. Reisinger, A. Cozma, 2018 .

Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE

C. Reisinger, Zhenru Wang, 2016, Journal of Computational Mathematics.

Semi-analytical solution of a McKean-Vlasov equation 1 with feedback through hitting a boundary 2

C. Reisinger, A. Lipton, Vadim Kaushansky, 2019 .

Probabilistic error analysis for some approximation schemes to optimal control problems

C. Reisinger, A. Picarelli, 2018, Syst. Control. Lett..

Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups

C. Reisinger, Christa Cuchiero, Stefan Rigger, 2022, ArXiv.

Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem

C. Reisinger, Christa Cuchiero, Stefan Rigger, 2021, Annals of Operations Research.

A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2021, 2108.06740.

Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems

C. Reisinger, Yufei Zhang, Michael Giegrich, 2022, ArXiv.

Linear convergence of a policy gradient method for some finite horizon continuous time control problems

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2022, 2203.11758.

An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients

Neelima, Gonccalo dos Reis, C. Reisinger, 2022, ArXiv.

Understanding Deep Architecture with Reasoning Layer

Xinshi Chen, Yufei Zhang, Christoph Reisinger, 2020, NeurIPS.

Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework

C. Reisinger, Alessandro Gnoatto, A. Picarelli, 2020, SSRN Electronic Journal.

Path regularity of coupled McKean-Vlasov FBSDEs

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2020, 2011.06664.

Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates

C. Reisinger, A. Cozma, 2015 .

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems pdf

Christoph Reisinger, Yufei Zhang, C. Reisinger, 2019, Analysis and Applications.

First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems

Christoph Reisinger, Wolfgang Stockinger, Jianhai Bao, 2020, Proceedings of the Royal Society A.

First order convergence of Milstein schemes for McKean equations and interacting particle systems pdf

Christoph Reisinger, Wolfgang Stockinger, Jianhai Bao, 2020, ArXiv.

Stochastic Evolution Equations in Portfolio Credit Modelling

Christoph Reisinger, L. Jin, N. Bush, 2011, SIAM J. Financial Math..

Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products

Christoph Reisinger, Ben Hambly, Helen Haworth, 2011, 1103.4947.

Efficient exposure computation by risk factor decomposition

C. S. L. de Graaf, D. Kandhai, C. Reisinger, 2016, 1608.01197.

Analysis of linear difference schemes in the sparse grid combination technique

Christoph Reisinger, C. Reisinger, 2007, 0710.0491.

Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems

Christoph Reisinger, Yufei Zhang, C. Reisinger, 2019, SIAM J. Control. Optim..

A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates

Christoph Reisinger, Yufei Zhang, C. Reisinger, 2018, SIAM J. Numer. Anal..

Estimating risks of option books using neural-SDE market models

Samuel N. Cohen, C. Reisinger, Sheng Wang, 2022, SSRN Electronic Journal.

Arbitrage-Free Neural-SDE Market Models

Christoph Reisinger, Samuel N. Cohen, Samuel N. Cohen, 2021, SSRN Electronic Journal.

Detecting and Repairing Arbitrage in Traded Option Prices

Christoph Reisinger, Samuel N. Cohen, Sheng Wang, 2020, Applied Mathematical Finance.

Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise pdf

Christoph Reisinger, Wolfgang Stockinger, Neelima, 2020, The Annals of Applied Probability.

An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model pdf

Christoph Reisinger, Wolfgang Stockinger, C. Reisinger, 2020, J. Comput. Appl. Math..

Randomness and early termination: what makes a game exciting?

C. Reisinger, Gaoyue Guo, Dylan Possamai, 2023, 2306.07133.

An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients

Neelima, Gonccalo dos Reis, C. Reisinger, 2022, ArXiv.

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

Christoph Reisinger, Jan Hendrik Witte, C. Reisinger, 2010, SIAM J. Financial Math..

Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets

Christoph Reisinger, Andrei Cozma, Matthieu Mariapragassam, 2015, SIAM J. Financial Math..

The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options

Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte, 2010, SIAM J. Financial Math..

Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point

Michael Monoyios, Christoph Reisinger, Vicky Henderson, 2017, SIAM J. Financial Math..

Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2022, ArXiv.

Simulation of conditional expectations under fast mean-reverting stochastic volatility models

C. Reisinger, A. Cozma, 2020, MCQMC.

Numerical valuation of basket credit derivatives in structural jump-diffusion models

Christoph Reisinger, C. Reisinger, Karolina Bujok, 2012 .

Efficient Hierarchical Approximation of High-Dimensional Option Pricing Problems

Gabriel Wittum, Christoph Reisinger, C. Reisinger, 2007, SIAM J. Sci. Comput..

A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations

Endre Süli, Christoph Reisinger, Alan Whitley, 2016, SIAM J. Numer. Anal..

Understanding Deep Architectures with Reasoning Layer pdf

Le Song, Yufei Zhang, Xinshi Chen, 2020, NeurIPS 2020.

Well-posedness and numerical schemes for one-dimensional McKean–Vlasov equations and interacting particle systems with discontinuous drift

C. Reisinger, G. Leobacher, Wolfgang Stockinger, 2020, BIT Numerical Mathematics.

Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by L\'evy noise

Christoph Reisinger, Neelima, Neelima, 2020, 2010.08585.

Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Christoph Reisinger, Espen R. Jakobsen, Athena Picarelli, 2019, Electronic Communications in Probability.

Markov decision processes with observation costs

Christoph Reisinger, Jonathan Tam, C. Reisinger, 2022, ArXiv.

Regularity and stability of feedback relaxed controls

C. Reisinger, Yufei Zhang, 2020, SIAM J. Control. Optim..

A Neural Network-Based Policy Iteration Algorithm with Global H2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H^2$$\

C. Reisinger, Yufei Zhang, Kazufumi Ito, 2019, Foundations of Computational Mathematics.

Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

Christoph Reisinger, Peter Forsyth, C. Reisinger, 2015, 1503.05864.

Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times

C. Reisinger, B. Hambly, Andreas Søjmark, 2023, 2307.10800.

Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem

C. Reisinger, Mykhaylo Shkolnikov, Vadim Kaushansky, 2020, The Annals of Applied Probability.

Simulation of particle systems interacting through hitting times

Christoph Reisinger, Vadim Kaushansky, C. Reisinger, 2018, 1805.11678.

Simulation of a simple particle system interacting through hitting times

Christoph Reisinger, Vadim Kaushansky, C. Reisinger, 2017 .

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

C. Reisinger, Julen Rotaetxe Arto, 2016, Journal of Scientific Computing.

Robust calibration of financial models using Bayesian estimators

Christoph Reisinger, Alok Kumar Gupta, A. Gupta, 2014 .

Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems

C. Reisinger, Yufei Zhang, Michael Giegrich, 2022, ArXiv.

Numerical Valuation of Derivatives in High-Dimensional Settings Via Partial Differential Equation Expansions

Christoph Reisinger, Rasmus Wissmann, C. Reisinger, 2015 .

A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2020, ArXiv.

K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control

C. Reisinger, R. Oomen, Michael Giegrich, 2023, ArXiv.

Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach pdf

Yufei Zhang, Christoph Reisinger, Wolfgang Stockinger, 2020, ArXiv.

Optimal regularity of extended mean field controls and their piecewise constant approximation

C. Reisinger, Yufei Zhang, Wolfgang Stockinger, 2020, 2009.08175.

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

Christoph Reisinger, Andrei Cozma, Matthieu Mariapragassam, 2017, SIAM J. Financial Math..

Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models

Christoph Reisinger, Andrei Cozma, C. Reisinger, 2017, SIAM J. Numer. Anal..

Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise pdf

Christoph Reisinger, Gonçalo Dos Reis, Neelima, 2020, ArXiv.

Milstein schemes for delay McKean equations and interacting particle systems pdf

Christoph Reisinger, Wolfgang Stockinger, Jianhai Bao, 2020, ArXiv.

Optimal Bayesian Hedging Strategies in the Context of Model Uncertainty ∗

A. Gupta, C. Reisinger, 2011 .

Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–Vlasov equations and interacting particle systems

C. Reisinger, Panpan Ren, J. Bao, 2020, IMA Journal of Numerical Analysis.

Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps

Christoph Reisinger, Roxana Dumitrescu, Yufei Zhang, 2018, Applied Mathematics & Optimization.

A Numerical Scheme for the Quantile Hedging Problem

Christoph Reisinger, Cyril B'en'ezet, Jean-Franccois Chassagneux, 2019, SIAM J. Financial Math..

A Numerical Scheme for the Quantile Hedging Problem | SIAM Journal on Financial Mathematics | Vol. 12, No. 1 | Society for Industrial and Applied Mathematics

C. Reisinger, J. Chassagneux, 2021 .

An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model

Christoph Reisinger, Wolfgang Stockinger, C. Reisinger, 2020, J. Comput. Appl. Math..

K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control

C. Reisinger, R. Oomen, Michael Giegrich, 2023, ArXiv.

Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift pdf

Christoph Reisinger, Wolfgang Stockinger, Gunther Leobacher, 2020, ArXiv.

Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models

C. Reisinger, Maria Olympia Tsianni, 2023, 2302.00434.

Well-posedness and numerical schemes for one-dimensional McKean–Vlasov equations and interacting particle systems with discontinuous drift

C. Reisinger, G. Leobacher, Wolfgang Stockinger, 2020, BIT Numerical Mathematics.

Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem

C. Reisinger, Christa Cuchiero, Stefan Rigger, 2021, Ann. Oper. Res..

Modelling bonds and credit default swaps using a structural model with contagion

C. Reisinger, H. Haworth, W. Shaw, 2007, 0710.0753.

Modeling basket credit default swaps with default contagion

Christoph Reisinger, Helen Haworth, C. Reisinger, 2007 .

A Mixed Monte Carlo and Partial Differential Equation Variance Reduction Method for Foreign Exchange Options Under the Heston–Cox–Ingersoll–Ross Model

Christoph Reisinger, Andrei Cozma, C. Reisinger, 2016 .

Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

Christoph Reisinger, Andrei Cozma, C. Reisinger, 2015, 1601.00919.

Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative

Christoph Reisinger, C. Reisinger, 2012, Int. J. Comput. Math..