Preprints and working papers

Peer-reviewed publications

[ORCiD:, Scopus Author ID: 25621568900]

  1. 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, forthcoming.
  2. V. Kaushansky, C. Reisinger. Simulation of particle systems interacting through hitting times, Discrete and Continuous Dynamical Systems — Series B, forthcoming.
  3. A. Cozma, C. Reisinger. Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models, SIAM Journal on Numerical Analysis, forthcoming.
  4. 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.
  5. V. Kaushansky, A. Lipton, C. Reisinger. Transition probability of Brownian motion in the octant and its application to default modeling, Applied Mathematical Finance, forthcoming.
  6. C. S. L. de Graaf, D. Kandhai, C. Reisinger. Efficient exposure computation by risk factor decomposition, Quantitative Finance, 18(10), 1657—1678, 2018.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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, forthcoming.
  14. 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.
  15. C. Reisinger, Z. Wang. Analysis of Multi-Index Monte Carlo estimators for a Zakai SPDE, Journal of Computational Mathematics, 36(2), 202—236, 2018.
  16. 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.
  17. C. Reisinger. The non-locality of Markov chain approximations to two-dimensional diffusions, Mathematics and Computers in Simulation, 143, 176—185, 2018.
  18. 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.
  19. C. Reisinger, P.A. Forsyth. Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations, Applied Numerical Mathematics, 103, 27—47, 2016.
  20. 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.
  21. C. Reisinger, R. Wissmann. Numerical valuation of derivatives in high-dimensional settings via PDE expansions, Journal of Computational Finance, 18(4), 95—127, 2015.
  22. A. Gupta, C. Reisinger. Robust calibration of financial models using Bayesian estimators, Journal of Computational Finance, 17(4), 3—36, 2014.
  23. 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, 2013. DOI: 10.1007/s11009-013-9380-5.
  24. 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.
  25. 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.
  26. C. Reisinger. Analysis of linear difference schemes in the sparse grid combination technique, IMA Journal of Numerical Analysis, 33(2), 544—581, 2012.
  27. 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.
  28. 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.
  29. 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.
  30. K. Bujok, C. Reisinger. Numerical valuation of basket credit derivatives in structural jump-diffusion models, Journal of Computational Finance, 15(4), 115—158, 2012.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. H. Haworth, C. Reisinger. Modeling basket credit defaults swaps with default contagion, Journal of Credit Risk, 3(4), 31—67, 2007.
  38. C. Reisinger, G. Wittum. Efficient hierarchical approximation of high-dimensional option pricing problems, SIAM Journal on Scientific Computing, 29(1), 440—458, 2007.
  39. C. Reisinger, G. Wittum. On multigrid for anisotropic equations and variational inequalities. Computing and Visualization in Science, 7(4), 189—197, 2004.


PhD thesis

Diploma thesis