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Christoph Reisinger

Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

Mathematical Institute

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

  • Oxford-Man Institute of Quantitative Finance

  • Mathematical Institute

SCHOLARLY PAPERS

6

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1,713

TOTAL CITATIONS

28

Scholarly Papers (6)

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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 Finance and University of Verona - Department of Economics
Downloads 559
Citation 23

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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
Christoph Reisinger, Christoph Reisinger, Sheng Wang and Samuel N. Cohen
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford and University of Oxford
Downloads 383
Citation 5

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

3.

Ambiguity-Averse Deep Hedging with Feature Clustering

Number of pages: 36 Posted: 19 Aug 2025
Adam C. Jones, Blanka Horvath, Christoph Reisinger, Christoph Reisinger, Ben Wood, Lianjun Bai and Amira Akkari
University of Oxford - Mathematical Institute, ETH Zürich - Department of Mathematics, University of Oxford - Oxford-Man Institute of Quantitative Finance, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 366

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Deep Hedging, Ambiguity Aversion, Smooth Ambiguity Aversion, Knightian Uncertainty, Forward Start Options, Robustness, Clustering

4.

Hedging Option Books Using Neural-SDE Market Models

Number of pages: 36 Posted: 09 Jun 2022
Samuel N. Cohen, Sheng Wang, Christoph Reisinger and Christoph Reisinger
University of Oxford, University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 152

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

5.

Policy Gradient Methods for Optimal Trade Execution in Limit Order Books

Number of pages: 31 Posted: 08 Sep 2025
Michael Giegrich, Roel C. A. Oomen, Christoph Reisinger and Christoph Reisinger
University of Oxford, Deutsche Bank AG (London) and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 127

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Policy Gradient Methods, Limit Order Books, Optimal Trade Execution, Generative Adversarial Networks, Data Driven Modelling in Finance

6.

Estimating risks of option books using neural-SDE market models

Number of pages: 35 Posted: 16 Feb 2022
Sheng Wang, Christoph Reisinger, Christoph Reisinger and Samuel N. Cohen
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 126

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