Christoph
Reisinger

[ORCiD: http://orcid.org/0000-0003-4027-5298, Scopus Author ID: 25621568900]

Preprints and working papers

Peer-reviewed publications

(in reverse order of acceptance)
  1. C. Reisinger, J. Tam. Markov decision processes with observation costs: framework and computation with a penalty scheme. Mathematics of Operations Research, forthcoming.
    [Link to preprint version.]
  2. M. Giegrich, C. Reisinger, Y. Zhang. Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems. SIAM Journal on Control and Optimization, 62(2), 2024.
    [Link to preprint version.]
  3. S. Biswas, C. Kumar, Neelima, G. dos Reis, C. Reisinger. An explicit Milstein-type scheme for interacting particle systems and McKean–Vlasov SDEs with common noise and non-differentiable drift coefficients. Annals of Applied Probability, forthcoming.
    [Link to preprint version.]
  4. C. Cuchiero, C. Reisinger, S. Rigger. Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups. SIAM Journal on Numerical Analysis, forthcoming.
    [Link to preprint version.]
  5. C. Reisinger, W. Stockinger, Y. Zhang. Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems. SIAM Journal on Control and Optimization, 61(6), 2023.
    [Link to preprint version.]
  6. C. Reisinger, M.O. Tsianni. Convergence of the Euler–Maruyama particle scheme for a regularised McKean–Vlasov equation arising from the calibration of local-stochastic volatility models. To appear in: A. Hinrichs, P. Kritzer, F. Pillichshammer (eds.). Monte Carlo and Quasi-Monte Carlo Methods 2022. Springer Verlag.
    [Link to preprint version.]
  7. S.N. Cohen, C. Reisinger, S. Wang. Arbitrage-free neural-SDE market models. Applied Mathematical Finance, 30(1), 1–⁠46, 2023.
    [Link to preprint version.]
  8. J. Bao, C. Reisinger, P. Ren, W. Stockinger. Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–⁠Vlasov equations and interacting particle systems. IMA Journal of Numerical Analysis, DOI: 10.1093/imanum/drad064, 2023.
    [Link to preprint version.]
  9. C. Reisinger, W. Stockinger, Y. Zhang. A posteriori error estimates for fully coupled McKean–⁠Vlasov forward-backward SDEs. IMA Journal of Numerical Analysis, DOI: 10.1093/imanum/drad060, 2023.
    [Link to preprint version.]
  10. S.N. Cohen, C. Reisinger, S. Wang. Hedging option books using neural-SDE market models. Applied Mathematical Finance, 29(5), 366–⁠401, 2022. DOI: 10.1080/1350486X.2023.2221448.
    [Link to preprint version.]
  11. C. Cuchiero, C. Reisinger, S. Rigger. Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Annals of Operations Research, https://doi.org/10.1007/s10479-023-05293-7, 2023.
    [Link to preprint version.]
  12. A. Gnoatto, A. Picarelli, C. Reisinger. Deep xVA solver — A neural network based counterparty credit risk management framework. SIAM Journal on Financial Mathematics, 14(1), 314–⁠352, 2023. DOI: 10.1137/21M1457606.
    [Link to preprint version.]
  13. S.N. Cohen, C. Reisinger, S. Wang. Estimating risks of option books using neural-SDE market models. Journal of Computational Finance, 26(3), 33–⁠72, 2022.
    [Link to preprint version.]
  14. G. Leobacher, C. Reisinger, W. Stockinger. Well-posedness and numerical schemes for one-dimensional McKean–⁠Vlasov equations and interacting particle systems with discontinuous drift. BIT Numerical Mathematics, 62, 1505–⁠1549, 2022.
    [Link to preprint version.]
  15. V. Kaushansky, C. Reisinger, M. Shkolnikov, Z.Q. Song. Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. Annals of Applied Probability, 33(1), 274–⁠298, 2023.
    [Link to preprint version.]
  16. C. Kumar, Neelima, C. Reisinger, W. Stockinger. Well-posedness and tamed schemes for McKean–⁠Vlasov equations with common noise. Annals of Applied Probability, 32(5), 3283–⁠3330, 2022.
    [Link to preprint version.]
  17. A. Cozma, C. Reisinger. Simulation of conditional expectations under fast mean-reverting stochastic volatility models. To appear in Proceedings of MCQMC 2020, A. Keller (Ed.), Springer Lectures Notes in Computational Science and Engineering.
    [Link to preprint version.]
  18. C. Reisinger, W. Stockinger. An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–⁠Nagumo model. Journal of Computational and Applied Mathematics, 400, 2021.
    [Link to preprint version.]
  19. C. Reisinger, Y. Zhang. Regularity and stability of feedback relaxed controls. SIAM Journal on Control and Optimization, 59(5), 3118–⁠3151, 2021.
    [Link to preprint version.]
  20. O. Bokanowski, A. Picarelli, C. Reisinger. Stability and convergence of second order backward differentiation schemes for parabolic Hamilton–⁠Jacobi–⁠Bellman equations. Numerische Mathematik, 148(1), 187–⁠222, 2021.
    [Link to preprint version.]
  21. C. Reisinger, Y. Zhang. A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers. Computers and Mathematics with Applications, 93, 199–⁠213, 2021.
    [Link to preprint version.]
  22. J. Bao, C. Reisinger, P. Ren, W. Stockinger. First order convergence of Milstein schemes for McKean–⁠Vlasov equations and interacting particle systems. Proceedings of the Royal Society A, 477(2245), 2021.
    [Link to preprint version.]
  23. S.N. Cohen, C. Reisinger, S. Wang. Detecting and repairing arbitrage in traded option prices. Applied Mathematical Finance, 27(5), 345–⁠373, 2021. DOI: 10.1080/1350486X.2020.1846573.
    [Link to preprint version.]
  24. X. Chen, Y. Zhang, C. Reisinger, L. Song. Understanding deep architectures with reasoning layer. Advances in Neural Information Processing Systems 33, 1240–⁠1252, 2020.
    [Link to preprint version.]
  25. V. Henderson, K. Kladivko, M. Monoyios, C. Reisinger. Executive stock option exercise with full and partial information on a drift change point. SIAM Journal on Financial Mathematics, 11(4), 1007–⁠1062, 2020.
    [Link to preprint version.]
  26. C. Bénézet, J.-F. Chassagneux, C. Reisinger. A numerical scheme for the quantile hedging problem. SIAM Journal on Financial Mathematics, 12(1), 110–⁠157, 2021.
    [Link to preprint version.]
  27. C. Reisinger, Y. Zhang. Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems. Analysis and Applications, 18(6), 951–⁠999, 2020.
    [Link to preprint version.]
  28. A. Bain, M. Mariapragassam, C. Reisinger. Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options. The Journal of Computational Finance, 24(4), 115–⁠161, 2021.
    [Link to preprint version.]
  29. K. Ito, C. Reisinger, Y. Zhang. A neural network based policy iteration algorithm with global H²-superlinear convergence for stochastic games on domains. Foundations of Computational Mathematics, 21(2), 331–⁠374, 2021.
    [Link to preprint version.]
  30. A. Picarelli, C. Reisinger. Probabilistic error analysis for some approximation schemes to optimal control problems. Systems and Control Letters, 137, March 2020.
    [Link to preprint version.]
  31. A. Picarelli, C. Reisinger. Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems. Computers and Mathematics with Applications, 79(7), 2099–⁠2118, 2020.
    [Link to preprint version.]
  32. A. Picarelli, C. Reisinger, J. Rotaetxe. Some regularity and convergence results for parabolic Hamilton–⁠Jacobi–⁠Bellman equations in bounded domains. Journal of Differential Equations, 268(12), 7843–⁠7876, 2020.
    [Link to preprint version.]
  33. A. Lipton, V. Kaushansky, C. Reisinger. Semi-analytical solution of a McKean–⁠Vlasov equation with feedback through hitting a boundary. European Journal of Applied Mathematics, 32(6), 1035–⁠1068, 2021.
    [Link to preprint version.]
  34. C. Reisinger, Y. Zhang. Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems. SIAM Journal on Control and Optimization, 58(1), 243–⁠276, 2020.
    [Link to preprint version.]
  35. C. Reisinger, Z. Wang. Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations, Sparse Grids and Applications — Munich 2018, H.-J. Bungartz et al (Eds), Lectures Notes in Computational Science and Engineering, 144, 205–⁠228, Springer, 2022.
    [Link to preprint version.]
  36. E.R. Jakobsen, A. Picarelli, C. Reisinger. Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems, Electronic Communications in Probability, 24(59), 1–⁠10, 2019.
    [Link to preprint version.]
  37. R. Dumitrescu, C. Reisinger, Y. Zhang. Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps, Applied Mathematics and Optimization, 83(3), 1387–⁠1429, 2021.
    [Link to preprint version].
  38. C. Reisinger, Y. Zhang. A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates, SIAM Journal on Numerical Analysis, 57(4), 1625–⁠1648, 2019.
    [Journal version.]
    [Link to preprint version.]
  39. C. Reisinger, Z. Wang. Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE, BIT Numerical Mathematics, 59, 987–⁠1029, 2019.
    [Link to preprint version.]
  40. A. Cozma, M. Mariapragassam, C. Reisinger. Calibration of a four-factor hybrid local-stochastic volatility model with a new control variate particle method, SIAM Journal on Financial Mathematics, 10(1), 181–⁠213, 2019.
    [Link to preprint version.]
  41. V. Kaushansky, C. Reisinger. Simulation of particle systems interacting through hitting times, Discrete and Continuous Dynamical Systems — Series B, 24(10): 5481–⁠5502, 2019.
    [Link to preprint version.]
  42. A. Cozma, C. Reisinger. Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models, SIAM Journal on Numerical Analysis, 56(6), 3430–⁠3458, 2018.
    [Link to preprint version.]
  43. A. Cozma, C. Reisinger. Strong order 1/2 convergence of full truncation Euler approximations to the Cox–⁠Ingersoll–⁠Ross process, IMA Journal of Numerical Analysis, doi:10.1093/imanum/dry067.
    [Link to preprint version.]
  44. V. Kaushansky, A. Lipton, C. Reisinger. Transition probability of Brownian motion in the octant and its application to default modeling, Applied Mathematical Finance, 25(5–⁠6), 434–⁠465, 2018.
    [Link to preprint version.]
  45. C. S. L. de Graaf, D. Kandhai, C. Reisinger. Efficient exposure computation by risk factor decomposition, Quantitative Finance, 18(10), 1657—1678, 2018.
    [Link to preprint version.]
  46. A. Picarelli, C. Reisinger, J. Rotaetxe. Boundary mesh refinement for semi-Lagrangian schemes. In Kalise et al (Ed.), Hamilton–⁠Jacobi–⁠Bellman Equations. Numerical Methods and Applications in Optimal Control (pp. 167–⁠188). Radon Series on Computational and Applied Mathematics, De Gruyter, 2018.
    [Preprint.]
  47. A. Cozma, M. Mariapragassam, C. Reisinger. Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets, SIAM Journal on Financial Mathematics, 9(1), 127–⁠170, 2018.
    [Journal version.]
    [Link to preprint version.]
  48. O. Bokanowski, A. Picarelli, C. Reisinger. High-order filtered schemes for time-dependent second order HJB equations, ESAIM: Mathematical Modelling and Numerical Analysis, 52(1), 69–⁠97, 2018.
    [Link to preprint version.]
  49. C. Reisinger, E. Süli, A. Whitley. A partial Fourier transform method for a class of hypoelliptic Kolmogorov equations, SIAM Journal on Numerical Analysis, 55(4), 1867–⁠1891, 2017.
    [Journal version.]
    [Link to preprint version.]
  50. V. Kaushansky, A. Lipton, C. Reisinger. Numerical analysis of an extended structural default model with mutual liabilities and jump risk, Journal of Computational Science, 24, 218–⁠231, 2018.
    [Link to preprint version.]
  51. C. Reisinger, R. Wissmann. Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs, ESAIM: Mathematical Modelling and Numerical Analysis, 51(6), 2435–⁠2463, 2017.
    [Link to preprint version.]
  52. C. Reisinger, R. Wissmann. Finite difference methods for medium- and high-dimensional derivative pricing PDEs. In High-Performance Computing in Finance: Problems, Methods, and Solutions, M.A.H. Dempster, J. Kanniainen, J. Keane, and E. Vynckier (Eds), Chapman and Hall/CRC, London, 2018.
  53. C. Reisinger, J. Rotaetxe. Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton–⁠Jacobi–⁠Bellman equations, Journal of Scientific Computing, 72(1), 198–⁠230, 2017.
    [Link to preprint version.]
  54. C. Reisinger, Z. Wang. Analysis of Multi-Index Monte Carlo estimators for a Zakai SPDE, Journal of Computational Mathematics, 36(2), 202–⁠236, 2018.
    [Link to preprint version.]
  55. A. Cozma, C. Reisinger. Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process, Discrete and Continuous Dynamical Systems — Series B, 21(10), 3359–⁠3377, 2016.
    [Link to preprint version.]
  56. C. Reisinger. The non-locality of Markov chain approximations to two-dimensional diffusions, Mathematics and Computers in Simulation, 143, 176–⁠185, 2018.
    [Link to preprint version.]
  57. A. Cozma, C. Reisinger. A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston–⁠CIR model, Journal of Computational Finance, 20(3), 109–⁠149, 2017.
    [Link to preprint version.]
  58. C. Reisinger, P.A. Forsyth. Piecewise constant policy approximations to Hamilton–⁠Jacobi–⁠Bellman equations, Applied Numerical Mathematics, 103, 27–⁠47, 2016.
    [Link to preprint version.]
  59. B. Hambly, M. Mariapragassam, C. Reisinger. A forward equation for barrier options under the Brunick & Shreve Markovian projection, Quantitative Finance, 16(6), 827–⁠838, 2016.
    [Link to preprint version.]
  60. C. Reisinger, R. Wissmann. Numerical valuation of derivatives in high-dimensional settings via PDE expansions, The Journal of Computational Finance, 18(4), 95–⁠⁠127, 2015.
    [Link to preprint version.]
  61. A. Gupta, C. Reisinger. Robust calibration of financial models using Bayesian estimators, The Journal of Computational Finance, 17(4), 3–⁠36, 2014.
    [Link to preprint version.]
  62. K. Bujok, B. Hambly, C. Reisinger. Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives, Methodology and Computing in Applied Probability, 17, 579–⁠604, 2015.
    [Link to preprint version.]
  63. C. Reisinger, A. Whitley. The impact of a natural time change on the convergence of the Crank–⁠Nicolson scheme, IMA Journal of Numerical Analysis, 34(3), 1156–⁠1192, 2013.
    [Link to preprint version.]
  64. S. Howison, C. Reisinger, J.H. Witte. The effect of non-smooth payoffs on the penalty approximation of American options, SIAM Journal on Financial Mathematics, 4(1), 539–⁠574, 2013.
    [Link to preprint version.]
  65. C. Reisinger. Analysis of linear difference schemes in the sparse grid combination technique, IMA Journal of Numerical Analysis, 33(2), 544–⁠581, 2012.
    [Link to preprint version.]
  66. C. Reisinger. Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative, International Journal of Computer Mathematics, Special Issue 'Recent Advances on the Numerical Solutions of Stochastic Partial Differential Equations', 2012; doi: 10.1080/00207160.2012.718762.
    [Link to preprint version.]
  67. M. Giles, C. Reisinger. Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance, SIAM Journal on Financial Mathematics, 3(1), 572–⁠592, 2012.
    [Link to preprint version.]
  68. C. Reisinger, J.H. Witte. On the use of policy iteration as an easy way of pricing American options, SIAM Journal on Financial Mathematics, 3(1), 459–⁠478, 2012.
    [Link to preprint version.]
  69. K. Bujok, C. Reisinger. Numerical valuation of basket credit derivatives in structural jump-diffusion models, Journal of Computational Finance, 15(4), 115–⁠158, 2012.
    [Link to preprint version.]
  70. J.H. Witte, C. Reisinger. Penalty methods for the solution of discrete HJB equations — continuous control and obstacle problems, SIAM Journal on Numerical Analysis, 50(2), 595–⁠625, 2012.
    [Link to preprint version.]
  71. C. Reisinger. Asymptotic expansion around principal components and the complexity of dimension adaptive algorithms. In Sparse Grids and Applications, J. Garcke and M. Griebel (Eds), Springer Lectures Notes in Computational Science and Engineering, 88, 263–276, 2012.
  72. N. Bush, B.M. Hambly, H. Haworth, L. Jin, C. Reisinger. Stochastic evolution equations in portfolio credit modelling, SIAM Journal on Financial Mathematics, 2(1), 627–664, 2011.
    [Link to preprint version with applications to exotic credit products.]
  73. J.H. Witte, C. Reisinger. A penalty method for the numerical solution of Hamilton–Jacobi–Bellman (HJB) equations in finance, SIAM Journal on Numerical Analysis, 49(1), 213–231, 2011.
    [Link to preprint version.]
  74. A. Gupta, C. Reisinger, A. Whitley. Model uncertainty and its impact on derivative pricing. In Rethinking Risk Management and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, K. Böcker (Ed.), Risk Books, 2010.
  75. H. Haworth, C. Reisinger, W. Shaw. Modelling bonds & credit default swaps using a structural model with contagion, Journal of Quantitative Finance, 8(7), 669–680, 2008.
  76. H. Haworth, C. Reisinger. Modeling basket credit defaults swaps with default contagion, Journal of Credit Risk, 3(4), 31–67, 2007.
  77. C. Reisinger, G. Wittum. Efficient hierarchical approximation of high-dimensional option pricing problems, SIAM Journal on Scientific Computing, 29(1), 440–458, 2007.
    [Link to preprint version.]
  78. C. Reisinger, G. Wittum. On multigrid for anisotropic equations and variational inequalities. Computing and Visualization in Science, 7(4), 189–197, 2004.
    [Link to preprint version.]

Other

PhD thesis

Diploma thesis