42 citations · 300 across the 66 of their papers we have counts for
4 papers · 1 filter
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Karolina Bujok, Ben Hambly, Christoph Reisinger
We consider Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected fu…
Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
Christoph Reisinger, Rasmus Wissmann
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The propose…
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
Christoph Reisinger
In this article, we extend a Milstein finite difference scheme introduced in [Giles & Reisinger(2011)] for a certain linear stochastic partial differential equation (SPDE), to semi…
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Michael B. Giles, Christoph Reisinger
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fouri…