Christoph Reisinger

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

University of Oxford - Mathematical Institute

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

4

DOWNLOADS

1,034

TOTAL CITATIONS

22

Scholarly Papers (4)

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1.

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

Number of pages: 33 Posted: 03 Jun 2020 Last Revised: 06 Nov 2021
Alessandro Gnoatto, Christoph Reisinger, Christoph Reisinger and Athena Picarelli
University of Verona - Department of Economics, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Verona - Department of Economics
Downloads 490 (122,183)
Citation 19

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

2.

Arbitrage-Free Neural-SDE Market Models

Number of pages: 46 Posted: 28 May 2021 Last Revised: 23 Aug 2021
Samuel N. Cohen, Christoph Reisinger, Christoph Reisinger and Sheng Wang
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 322 (196,813)
Citation 3

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Market models, no-arbitrage, European options, neural networks, neural SDE, constrained diffusions, statistical inference

3.

Hedging Option Books Using Neural-SDE Market Models

Number of pages: 36 Posted: 09 Jun 2022
Samuel N. Cohen, Christoph Reisinger, Christoph Reisinger and Sheng Wang
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 121 (483,882)

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Market models, European options, market simulators, no-arbitrage, neural-SDE, hedging

4.

Estimating risks of option books using neural-SDE market models

Number of pages: 35 Posted: 16 Feb 2022
Samuel N. Cohen, Christoph Reisinger, Christoph Reisinger and Sheng Wang
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 101 (552,807)

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Market models, European options; risk measures, market simulators; no-arbitrage, neural SDE