Browse by Author

Giles, M

Reisinger, Christoph and Giles, Michael (2011) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Working Paper. N/A. (Submitted)

Gupta, A

Gupta, Alok and Reisinger, Christoph Calibrating Financial Models Using Consistent Bayesian Estimators. Annals of Statistics . (Submitted)

Gupta, Alok and Reisinger, Christoph and Whitley, Alan Model Uncertainty and its Impact on Derivative Pricing. In: Rethinking Risk Measurement and Reporting. RISK, pp. 623-661. (In Press)

Haworth, H

Haworth, Helen and Reisinger, Christoph (2006) Modeling basket credit default swaps with default contagion. Journal of Credit Risk . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Reisinger, C

Reisinger, Christoph and Giles, Michael (2011) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Working Paper. N/A. (Submitted)

Haworth, Helen and Reisinger, Christoph (2006) Modeling basket credit default swaps with default contagion. Journal of Credit Risk . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Reisinger, Christoph and Wittum, Gabriel (2005) Efficient hierarchical approximation of high-dimensional option pricing problems. SIAM Journal on Scientific Computing . (Submitted)

Reisinger, Christoph and Wittum, Gabriel (2004) On multigrid for anisotropic equations and variational inequalities: pricing multi-dimensional European and American options. Computing and Visualization in Science, 7 (3-4). pp. 189-197. ISSN 1433-0369

Gupta, Alok and Reisinger, Christoph Calibrating Financial Models Using Consistent Bayesian Estimators. Annals of Statistics . (Submitted)

Gupta, Alok and Reisinger, Christoph and Whitley, Alan Model Uncertainty and its Impact on Derivative Pricing. In: Rethinking Risk Measurement and Reporting. RISK, pp. 623-661. (In Press)

Shaw, W

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Whitley, A

Gupta, Alok and Reisinger, Christoph and Whitley, Alan Model Uncertainty and its Impact on Derivative Pricing. In: Rethinking Risk Measurement and Reporting. RISK, pp. 623-661. (In Press)

Wittum, G

Reisinger, Christoph and Wittum, Gabriel (2005) Efficient hierarchical approximation of high-dimensional option pricing problems. SIAM Journal on Scientific Computing . (Submitted)

Reisinger, Christoph and Wittum, Gabriel (2004) On multigrid for anisotropic equations and variational inequalities: pricing multi-dimensional European and American options. Computing and Visualization in Science, 7 (3-4). pp. 189-197. ISSN 1433-0369