Christoph Reisinger

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

50

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

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

Number of pages: 25 Posted: 03 Jun 2020 Last Revised: 25 Aug 2020
Alessandro Gnoatto, Christoph Reisinger and Athena Picarelli
University of Verona - Department of Economics, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Verona - Department of Economics
Downloads 49 (434,564)

Abstract:

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CVA, DVA, FVA, ColVA, xVA, EPE, Collateral, xVA hedging, Deep BSDE Solver

2.

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

Journal of Computational Finance, Vol. 18, No. 4, Pages 95–127, 2015
Number of pages: 34 Posted: 15 Jun 2016
Christoph Reisinger and Rasmus Wissmann
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1 (722,025)
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Abstract:

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Derivatives Pricing, High-Dimensional PDEs, ANOVA, Bermudan Swaptions, LIBOR Market Model

3.

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

Journal of Computational Finance, Forthcoming
Number of pages: 41 Posted: 12 Aug 2016
Andrei Cozma and Christoph Reisinger
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 0 (740,082)
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Abstract:

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Monte Carlo simulation Partial differential equation (PDE), Stochastic volatility, Stochastic interest rate models, Convergence