Kay F. Pilz

kinetic mind GmbH

Sodener Strasse 42

Kelkheim, 65779

Germany

  • kinetic mind GmbH

SCHOLARLY PAPERS

7

DOWNLOADS

1,992

TOTAL CITATIONS

8

Scholarly Papers (7)

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1.

A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

Number of pages: 36 Posted: 08 Feb 2012 Last Revised: 27 May 2013
Susanne Griebsch and Kay F. Pilz
University of Technology, Sydney and kinetic mind GmbH
Downloads 745 (74,653)
Citation 2

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Heston model, barrier options, reflection principle

2.

Arbitrage-Free Shifting of Price Forward Curves - An Efficient and Generic Algorithm

Number of pages: 17 Posted: 22 Dec 2015
Richard Biegler-König and Kay F. Pilz
STEAG GmbH and kinetic mind GmbH
Downloads 333 (196,814)
Citation 2

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Price Forward Curves (PFC), energy markets, electricity markets, arbitrage free pricing, Monte-Carlo methods

3.

A Hybrid Commodity and Interest Rate Market Model

Number of pages: 30 Posted: 08 Dec 2009
Kay F. Pilz and Erik Schlögl
kinetic mind GmbH and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 289 (229,135)
Citation 3

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Commodity modeling, LIBOR Market Model, commodity futures, interest rate risk, spread options

4.

Calibration of the Multi-Currency LIBOR Market Model

Number of pages: 25 Posted: 19 Jan 2011
Kay F. Pilz and Erik Schlögl
kinetic mind GmbH and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 283 (234,242)

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Currency options, LIBOR Market Model, exchange rate risk, interest rate risk

5.

Calibrating a Market Model to Commodity and Interest Rate Risk

Number of pages: 24 Posted: 04 May 2016 Last Revised: 02 Jul 2016
Patrik Karlsson, Kay F. Pilz and Erik Schlögl
drkarlsson.com, kinetic mind GmbH and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 208 (317,473)
Citation 1

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Calibration, Commodity markets, Derivative pricing, Interest rate modelling, Interest rate derivatives, Oil futures, Energy derivatives

6.

Deep Volatility Inpainting using Convolutional Autoencoders

Number of pages: 23 Posted: 08 Mar 2024
Susanne Griebsch and Kay F. Pilz
University of Technology, Sydney and kinetic mind GmbH
Downloads 134 (465,404)

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Quantitative Finance, Illiquidity, Implied Volatility Surfaces, Autoencoder, Convolutional Neural Networks

7.

Nonparametric Option Pricing with No-Arbitrage Constraints

Journal of Financial Econometrics, Vol. 7, Issue 2, pp. 53-76, 2009
Posted: 23 Mar 2009
Melanie Birke and Kay F. Pilz
affiliation not provided to SSRN and kinetic mind GmbH

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C14, G12, call pricing function, constrained nonparametric estimation, monotone rearrangements, state price density