Joerg Kienitz

University of Wuppertal - Applied Mathematics

Assistant Professor

Gaußstraße 20

42097 Wuppertal

Germany

University of Cape Town (UCT)

Adjunct Associate Professor

Private Bag X3

Rondebosch, Western Cape 7701

South Africa

Quaternion Risk Management

Partner

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

  • University of Wuppertal - Applied Mathematics

  • University of Cape Town (UCT)

  • Quaternion Risk Management

SCHOLARLY PAPERS

11

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2,861

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3

CROSSREF CITATIONS

4

Scholarly Papers (11)

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1.

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Number of pages: 22 Posted: 22 Jan 2013 Last Revised: 27 Mar 2013
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 1,513 (11,800)
Citation 2

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Cap, Swaption, Displaced Diffusion, Volatility, Multi Curve, Money Market Basis

2.

Approximate and PDE Solution to the Boundary Free SABR Model - Applications to Pricing and Calibration

Number of pages: 16 Posted: 20 Aug 2015 Last Revised: 03 Sep 2015
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 378 (79,636)

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SABR, Free Boundary SABR, Approximation, Calibration, Partial Di erential Equation

3.

Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads

Number of pages: 14 Posted: 05 Feb 2013
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 374 (80,629)

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OIS, zero bond dynamics, multi-curve, Libor Market model, forward, cap, swap, swaption, basis spread

4.

Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments

Number of pages: 47 Posted: 09 Nov 2011
Joerg Kienitz and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics and Quaternion Risk Management
Downloads 146 (204,664)

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Libor Marekt Model, Adjoint Method, Affine Recursion, Bermudan Swaption, Trigger Swaps

5.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 27 Sep 2018
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 106 (260,840)
Citation 1

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

6.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 93 (284,527)

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quantization, option pricing, stochastic volatility

7.

Basket CMS Derivatives in Term Structure Market Models with Stochastic Volatility

Number of pages: 21 Posted: 22 Dec 2012
Joerg Kienitz, Peter Schuetterle and Manuel Wittke
University of Wuppertal - Applied Mathematics, E.on Energy Trading and Deloitte & Touche - Financial Risk Solutions
Downloads 88 (294,668)

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Libor Market Model, Stochastic Volatility, CMS, Markovian Projection, Parameter Averaging, Spread Options

8.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 86 (298,952)
Citation 2

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quantization, option pricing

9.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 52 (390,633)

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Machine learning, Neural networks, Computational Finance, Term Structure Models, Control Variates, Option Pricing, Hull-White model, Trolle-Schwartz Model

10.

Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts

Number of pages: 23 Posted: 01 Feb 2018
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 18 (546,146)

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quantization, option pricing, benchmark approach, real-world measure

11.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 7 (615,871)
Citation 3

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