Kay F. Pilz

RIVACON

Im Apfelgrund 4

Friedrichsdorf, 61381

Germany

http://www.rivacon.com

SCHOLARLY PAPERS

6

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Top 47,575

in Total Papers Downloads

1,364

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (6)

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 RIVACON
Downloads 618 (60,815)
Citation 2

Abstract:

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Heston model, barrier options, reflection principle

2.

A Hybrid Commodity and Interest Rate Market Model

Number of pages: 30 Posted: 08 Dec 2009
Kay F. Pilz and Erik Schlögl
RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 242 (174,986)
Citation 3

Abstract:

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

3.

Calibration of the Multi-Currency LIBOR Market Model

Number of pages: 25 Posted: 19 Jan 2011
Kay F. Pilz and Erik Schlögl
RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 224 (188,332)

Abstract:

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

4.

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, RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 172 (238,672)
Citation 1

Abstract:

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

5.

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

Number of pages: 17 Posted: 22 Dec 2015
University of Duisburg-Essen - Department of Economics and Business AdministrationEvonik Steag GmbH and RIVACON
Downloads 108 (341,003)
Citation 2

Abstract:

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

6.

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 RIVACON

Abstract:

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