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Contact information

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

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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

since Jan 06 since Feb 08 Jan 06 Sep 06 Apr 04 Dec 05

8. 6. 2004 Aug 01 Jan 04

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)

MSc supervision (completed theses)


MSc MSc MSc MSc in in in in Mathematical Modelling and Scientic Computing (MSc MMSC) Applied and Computational Mathematics (MSc ACM) Mathematical and Computational Finance (MSc MCF) Mathematical Finance (MSc MF)

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

Selected presentations and invitations


2008: Sept/Oct Sept 31. 6. 19. 6. 8. 6. 2007: 20. 11. 11. 9. 6. 9. 18. 7. 26. 3. 2006: 6. 12. 19. 8. 12. 7. Visit at CSIRO, Melbourne and Sydney Invited lecture at Special Semester Finance opening at RICAM, Linz ECMI08, London: Numerical Methods for Basket Credit Derivatives University of Sussex: Numerical Methods for High-dimensional Problems Arising in Finance Numerical Methods for Finance Conference, Dublin: Calibration of Forward Rate Volatility in a Bayesian Framework Kings College, London: Modelling and Numerical Aspects of Basket Credit Derivatives Pricing ENUMATH Conference, Graz: Calibration of Interest Rate Volatility as a High-dimensional PDE Problem BICS Conference, Bath (invited): Analysis and Applications of the Sparse Grid Combination Technique ICIAM Conference, Z urich: Calibration of Forward Rate Volatility in a Bayesian Framework Computational Finance World Congress, London: Ecient Hierarchical Approximation of High-dimensional Option Pricing Problems Imperial College: Hierarchical Approximation to Multi-Factor Models Bachelier World Congress, Tokyo: Numerical Methods for Pricing in Incomplete Commodity Markets SIAM Conference on Financial Mathematics and Engineering, Boston: Numerical Schemes for Pricing in Incomplete Markets with an Application from Commodities University of Bath: Hierarchical Approximation to High-Dimensional Problems Oxford Princeton Meeting in Mathematical Finance: Hierarchical Approximation to Option Pricing Problems 8th European Multigrid Conference, The Hague, Netherlands (plenary): Hierarchical Approximation and Multilevel Methods in Option Pricing Uppsala University, Numerical Mathematics: Sparse grids new convergence results and applications ENUMAT 2005, Santiago de Compostela, Spain (invited): Numerical Aspects of Utility Pricing Oxbrige Applied Mathematics Meeting, Cambridge (winning the Whooly Owl): Sparse Grids in Finance Oberwolfach Meeting Fast Solvers for PDEs (invited) Algoritmy 2005, Podbanske (SK): Pricing Options in Multi-Factor Models University of Greenwich, Computer Sciences: Hierarchical Approximation to Multi-Asset Options 4

24. 2. 2005: 11. 11. 29. 9. 18. 8. 21. 7. 16. 6. 23.27. 5. 17. 3. 20. 1.

2004: 28. 10. 8. 10. 22. 9.

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.

17. 5.

8. 3. 2003: 13. 9. 25. 7. 4. 6. 3. 5.

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

Other professional activities


Senior Mathematics Tutor at St. Catherines College (Head of Mathematics) Referee for scientic journals, such as SIAM Journal of Numerical Analysis, SIAM Journal of Scientic Computing, Journal of Computational Finance, Applied Mathematical Finance, International Journal for Theoretical and Applied Finance, Quantitative Finance, Computing, Computing and Visualization in Science, European Journal of Applied Mathematics, Journal of Discrete and Continuous Dynamical Systems. Referee for national and international research proposals. Organisation of the Minisymposium Numerical Methods for Option Pricing, 12. 7. 2006, SIAM Conference on Financial Mathematics and Engineering, Boston.

Awards, stipends, fellowships


Teaching Award Recognizing and Rewarding Excellence in Teaching 2008, awarded by Oxford University for development of the MSc in Mathematical Finance (jointly with S Howison, B Hambly, M Monoyios, J Dewynne). Junior Research Fellowship in the Sciences, Wolfson College, Oxford, 2005-2006 ERASMUS exchange at DTU Lyngby/Copenhagen, Jan.-June 1998 KIP (Kepler International Program) scholarship given by the Upper Austrian Government for studies at DTU Honorable mention at the International Mathematics Olympiad, Chinese University of Hong Kong, July 1994 Silver medal in the Austrian Mathematics Olympiad, June 1994