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Christoph Reisinger www.maths.ox.ac.uk/reisinge 83 Reliance Way Oxford OX4 2FW United Kingdom OCIAM, Mathematical Institute Oxford University 2429 St Giles UK Oxford OX1 3LB +44 1865 280615 +44 1865 270515 reisinge@maths.ox.ac.uk
Curriculum vitae
Academic career
since Oct 06 University Lecturer in Mathematical Finance, Mathematical and Computational Finance Group, Mathematical Institute, Oxford University www.maths.ox.ac.uk/mcfg Tutorial Fellow in Mathematics, St. Catherines College Academic Director of the Diploma/MSc in Mathematical Finance www.maths.ox.ac.uk/mscmf Associate Member Oxford-Man Institute for Quantitative Finance Departmental Lecturer, Mathematical Institute, Oxford Post-doctoral Researcher, Mathematical Institute, Oxford
Viva-voce Summa Cum Laude Faculty of Mathematics and Informatics, Heidelberg Thesis: Numerical Methods for High-Dimensional Parabolic Problems with Applications in Option Pricing Supervisor: Prof. Dr. Gabriel Wittum
30. 6. 1999
Diploma in Applied Mathematics with distinction Institute of Numerical Mathematics and Optimization, Linz Thesis: Analysis and Numerical Solution of the k --Turbulence Model with Non-Standard Boundary Conditions. Supervisor: A. Univ.-Prof. Dipl.-Ing. Dr. Walter Zulehner
Personal data
born 22. 8. 1976 in Linz, Austria Citizenship: Austrian
Teaching
Development of the Diploma/MSc in Mathematical Finance as its Academic Director (see Awards section) Michaelmas (winter) Term 07, Hilary (spring) Term 08: Design and delivery of new lecture course Numerical Methods for Finance (MSc in Mathematical and Computational Finance). For the course synopsis see www.maths.ox.ac.uk/courses/2007/mscmcf/numerical-methods-1-nite-dierence-methods Since Apr. 2004: Lecturer on the part-time Diploma/MSc in Mathematical Finance. Short courses taught: Partial dierential equations Core topics in discrete-time and continuous-time nance Finite dierence and Monte Carlo methods, advanced topics in computational nance, workshops, quasi-Monte Carlo and lattice methods, sparse grids Volatility and calibration: volatility surfaces, implied trees, regularisation Since Michaelmas Term 2005: Lecturer at St. Catherines College, Oxford. Classes and tutorials: dynamics, probability, dierential equations, Fourier series, calculus (1st year); dierential equations, probability, statistics (2nd year); numerical analysis, nancial derivatives (3rd year).
Publications
C. Reisinger, G. Wittum: On Multigrid for Anisotropic Equations and Variational Inequalities. Computing and Visualization in Science (2004). C. Reisinger, G. Wittum: Ecient Hierarchical Approximation of High-Dimensional Option Pricing Problems, SIAM Journal for Scientic Computing (2006). H. Haworth, C. Reisinger: Modeling Basket Credit Defaults Swaps with Default Contagion, Journal of Credit Risk (2007). H. Haworth, C. Reisinger, W. Shaw: Modelling Bonds and Credit Default Swaps Using a Structural Model with Contagion, Quantitative Finance (to appear Oct 2008). C. Reisinger: Analysis of Linear Dierence Schemes in the Sparse Grid Combination Technique, submitted. 2
C. Reisinger, H. Para: Calibration of Instantaneous Forward Rate Volatility in a Bayesian Framework, submitted. C. Reisinger: Numerische Methoden fr hochdimensionale parabolischer Gleichungen am Beispiel von Optionspreisaufgaben (Ecient Numerical Techniques for the Solution of High-Dimensional Parabolic Equations with Applications in Option Pricing), Dissertation, Universit at Heidelberg, 2004. C. Reisinger, M. Wabro: Analysis and Numerical Solution of the k - Turbulence Model with Non-Standard Boundary Conditions. Master thesis, University of Linz, 1999.
Research grants
EPSRC (Engineering and Physical Sciences Research Council) CASE Award (Cooperative Awards in Science and Engineering) with Nomura International Plc, Numerical Solution of a Class of SPDEs Arising in Finance (2008). 63, 789 over 3.5 years EPSRC CASE Award with Nomura, Bayesian Approach to Derivative Pricing and Model Uncertainty (2006). 60, 864 over 3.5 years
PhD supervision
Alok Gupta, works on Bayesian calibration of nancial models (from 2006)
Peng Liu, Numerical Methods for American Option Pricing (MSc MCF 2007/8) Sensen Lin, Finite Dierence Schemes for the Heston Model (MSc MCF 2007/8) George Gan, Asymptotic Pricing of Equity Basket Options (MSc MF, 2007) Matthew Wilkings, Semi-Lagrangian Techniques for Asian Basket Options (MSc MMSC 2006/7) Justin Hadin, A Contagion Eect in Credit Derivatives (MSc MMSC 2006/7) Hugo Para, Calibration of Forward Rate Volatility (MSc ACM 2005/6) Laurent Montete, Analysis and Pricing of Barrier Options (MSc MMSC 2005/6) David Nourani, Pricing Credit Derivatives (MSc MMSC 2005/6) Russell Betteridge, A Comparison of Integration Techniques (MSc MMSC 2004/5) James Blackham, Sparse Grid Solutions to the LIBOR Market Model (MSc MMSC 2003/4) 3
24. 2. 2005: 11. 11. 29. 9. 18. 8. 21. 7. 16. 6. 23.27. 5. 17. 3. 20. 1.
Comlab, Oxford: Analysis of the sparse grid combination technique and high dimensional applications in option pricing Financial Research Center, Judge Institute, Cambridge: Computational Strategies for High Dimensional Option Pricing Problems OCCF City Seminar, Reuters, London: Computational Strategies for High Dimensional Option Pricing Problems 4th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS), Jyv askyl a, Finland (invited): Numerical Techniques for High Dimensional Option Pricing Problems Seminar Ecient Numerical Methods for High Dimensional Problems, Hohenwart, Germany (invited): Ecient Numerical Methods for High Dimensional Option Pricing Models Technical University Munich, Germany: A higher-order combination technique and applications in option pricing Z urich Workshop on Computational Finance, ETH Z urich and RiskLab (invited): Pricing Options on Big Baskets Lawrence Livermore National Laboratories, USA: Sparse Grids and Multigrid Methods Oberwolfach Workshop Fast Solvers for Partial Dierential Equations (invited): Multigrid Methods for Option Pricing Problems on Sparse Grids Workshop Modelling and Computation in Financial Engineering, Bad Herrenalb, Germany (plenary): Solving Option Pricing Problems in High Dimensions Radon Institute for Computational and Applied Mathematics (RICAM), Linz, Austria: Solving Option Pricing Problems in High Dimensions Frankfurt MathFinance Workshop (plenary): Ecient Numerical Techniques for Pricing Multivariate Options 19th GAMM-Seminar High-dimensional Problems Numerical Treatment and Applications, Leipzig, Germany: A Sparse Grid Approach for Pricing Multivariate European and American Options
25. 7.
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29. 4. 4. 3. 24. 1.
Industrial projects
Nomura International Plc, 2006present: see Grants section. Dresdner Bank AG (D), 20012006: Analytical methods and numerical approximation to options in LIBOR market models and multi-factor short rate models, FX options, equity baskets (partly joint work with Willi J ager, J org Kampen, Gabriel Wittum, University of Heidelberg) PROFACTOR, Steyr (A), and GEA Jet Pumps, Ettlingen (D), 19992000: Numerical simulation of ow through a steam ejector (generation of vacuum) (joint work with Pavel Solin and Walter Zulehner, Uni Linz) 5
AVL List Gmbh, Graz (A), 19972000: Simulation of turbulent ow in combustion engines (joint work with Markus Wabro and Walter Zulehner, Uni Linz) AVL List Gmbh, 19992000: Ecient data structures and routines for unstructured meshes with hanging nodes