The Mathematical Institute, University of Oxford, Eprints Archive

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Number of items: 8.

Article

Giles, M.B. and Reisinger, Christoph (2012) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. SIAM Journal on Financial Mathematics, 3 (1). pp. 572-592.

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 T. (2006) Modelling bonds and credit default swaps using a structural model with contagion. Quantitative Finance . (Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William T. (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

Book Section

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)

Technical Report

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

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