Articles by Christoph Reisinger
Estimating risks of European option books using neural stochastic differential equation market models
The authors investigate how arbitrage-free neural stochastic differential equation market models can produce realistic scenarios for the joint dynamics of multiple European options on a single underlying and demonstrate how they can be used as a risk…
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, the authors consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options.
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions are carefully compared in terms of accuracy and run…