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, W. Stockinger, Y. Zhang. A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems. SIAM Journal on Scientific Computing, forthcoming.
  2. C. Reisinger, J. Tam. Markov decision processes with observation costs: framework and computation with a penalty scheme. Mathematics of Operations Research, forthcoming.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. S.N. Cohen, C. Reisinger, S. Wang. Arbitrage-free neural-SDE market models. Applied Mathematical Finance, 30(1), 1–⁠46, 2023.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. C. Reisinger, Y. Zhang. Regularity and stability of feedback relaxed controls. SIAM Journal on Control and Optimization, 59(5), 3118–⁠3151, 2021.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. X. Chen, Y. Zhang, C. Reisinger, L. Song. Understanding deep architectures with reasoning layer. Advances in Neural Information Processing Systems 33, 1240–⁠1252, 2020.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. A. Picarelli, C. Reisinger. Probabilistic error analysis for some approximation schemes to optimal control problems. Systems and Control Letters, 137, March 2020.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. V. Kaushansky, C. Reisinger. Simulation of particle systems interacting through hitting times, Discrete and Continuous Dynamical Systems — Series B, 24(10): 5481–⁠5502, 2019.
  43. 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.
  44. 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.
  45. 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.
  46. C. S. L. de Graaf, D. Kandhai, C. Reisinger. Efficient exposure computation by risk factor decomposition, Quantitative Finance, 18(10), 1657—1678, 2018.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. C. Reisinger, Z. Wang. Analysis of Multi-Index Monte Carlo estimators for a Zakai SPDE, Journal of Computational Mathematics, 36(2), 202–⁠236, 2018.
  56. 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.
  57. C. Reisinger. The non-locality of Markov chain approximations to two-dimensional diffusions, Mathematics and Computers in Simulation, 143, 176–⁠185, 2018.
  58. 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.
  59. C. Reisinger, P.A. Forsyth. Piecewise constant policy approximations to Hamilton–⁠Jacobi–⁠Bellman equations, Applied Numerical Mathematics, 103, 27–⁠47, 2016.
  60. 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.
  61. 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.
  62. A. Gupta, C. Reisinger. Robust calibration of financial models using Bayesian estimators, The Journal of Computational Finance, 17(4), 3–⁠36, 2014.
  63. 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.
  64. 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.
  65. 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.
  66. C. Reisinger. Analysis of linear difference schemes in the sparse grid combination technique, IMA Journal of Numerical Analysis, 33(2), 544–⁠581, 2012.
  67. 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.
  68. 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.
  69. 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.
  70. K. Bujok, C. Reisinger. Numerical valuation of basket credit derivatives in structural jump-diffusion models, Journal of Computational Finance, 15(4), 115–⁠158, 2012.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. H. Haworth, C. Reisinger. Modeling basket credit defaults swaps with default contagion, Journal of Credit Risk, 3(4), 31–67, 2007.
  78. C. Reisinger, G. Wittum. Efficient hierarchical approximation of high-dimensional option pricing problems, SIAM Journal on Scientific Computing, 29(1), 440–458, 2007.
  79. C. Reisinger, G. Wittum. On multigrid for anisotropic equations and variational inequalities. Computing and Visualization in Science, 7(4), 189–197, 2004.

Other

PhD thesis

Diploma thesis