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

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 6,108

SSRN RANKINGS

Top 6,108

in Total Papers Downloads

7,538

SSRN CITATIONS
Rank 35,036

SSRN RANKINGS

Top 35,036

in Total Papers Citations

5

CROSSREF CITATIONS

14

Scholarly Papers (20)

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 1,542 (12,087)
Citation 2

Abstract:

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

2.

An Implementation of the Hybrid-Heston-Hull-White Model

Number of pages: 34 Posted: 08 May 2009
Joerg Kienitz and Holger Kammeyer
University of Wuppertal - Applied Mathematics and UC Berkeley, Department of Mathematics
Downloads 1,255 (16,709)
Citation 2

Abstract:

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Heston Model, Hull-White Model, Hybrid Model, C , UML

3.

Pricing Forward Start Options in Models Based on (Time-Changed) Levy Processes

Number of pages: 14 Posted: 14 Jan 2009 Last Revised: 19 Jan 2009
Philipp Beyer and Joerg Kienitz
affiliation not provided to SSRN and University of Wuppertal - Applied Mathematics
Downloads 914 (26,712)
Citation 5

Abstract:

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Variance Gamma, Normal Inverse Gaussian, Gamma Ornstein Uhlenbeck, CIR, Subordinator, Time change, forward characteristic function, Option Pricing

4.

A Note on Monte Carlo Greeks for Jump Diffusion and Other Levy Processes

Number of pages: 28 Posted: 26 Aug 2008 Last Revised: 03 Sep 2008
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 703 (38,401)
Citation 4

Abstract:

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Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation, Levy Process, Jump Diffusion, Merton Model, Variance Gamma, Digital Option, Lookback Option, Knock-Out Option

5.

Monte-Carlo Simulation with Boundary Conditions (with Applications to Stress Testing, CEV and Variance-Gamma Simulation)

Number of pages: 40 Posted: 05 Apr 2010 Last Revised: 27 Apr 2010
Christian P. Fries and Joerg Kienitz
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and University of Wuppertal - Applied Mathematics
Downloads 598 (47,693)

Abstract:

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Monte Carlo Simulation, Valuation, Stress Test, Variance Reduction, Boundary Conditions, Numerical Schemes, CEV, Variance Gamma

6.

Option Valuation in Multivariate SMM/SABR Models (with an Application to the CMS Spread)

Number of pages: 27 Posted: 11 Sep 2009 Last Revised: 30 Jun 2010
Joerg Kienitz and Manuel Wittke
University of Wuppertal - Applied Mathematics and Deloitte & Touche - Financial Risk Solutions
Downloads 588 (48,722)
Citation 3

Abstract:

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SMM, SABR model, CMS, CMS Spread, Gyöngy Lemma, Markovian Projection, Displaced diffusion

7.

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 401 (78,619)

Abstract:

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

8.

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 378 (83,686)

Abstract:

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

9.

A Note on Monte Carlo Greeks using the Characteristic Function

Number of pages: 27 Posted: 27 Nov 2008 Last Revised: 30 Nov 2008
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 265 (123,681)
Citation 3

Abstract:

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Monte Carlo, Greeks, Levy, Characterisitc Function, Fourier Transform, Proxy

10.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 162 (196,194)

Abstract:

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

11.

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 149 (210,496)

Abstract:

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

12.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 27 Sep 2018
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 127 (238,846)
Citation 1

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

13.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
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 97 (289,081)

Abstract:

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quantization, option pricing, stochastic volatility

14.

Effective Stochastic Volatility: Applications to ZABR-type Models

Number of pages: 36 Posted: 05 Feb 2020
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 92 (298,988)
Citation 1

Abstract:

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Stochastic volatility, SABR, ZABR, Free boundary ZABR, Mean-reverting ZABR, Effective PDE, Approximation formula

15.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
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 89 (305,222)
Citation 2

Abstract:

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quantization, option pricing

16.

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 (307,389)

Abstract:

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

17.

The CV Makes the Difference – Control Variates for Neural Networks

Number of pages: 12 Posted: 25 Feb 2020 Last Revised: 27 Apr 2020
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 63 (371,503)
Citation 1

Abstract:

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machine learning, neural networks, control variates, Bermudan swaption, SABR, free SABR, Heston

18.

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

Number of pages: 23 Posted: 01 Feb 2018
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 20 (556,428)

Abstract:

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

19.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
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 (642,091)
Citation 3

Abstract:

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20.

Model Risk Using Stochastic Volatility and Levy Models

Posted: 31 Mar 2012
Manuel Wittke and Joerg Kienitz
Deloitte & Touche - Financial Risk Solutions and University of Wuppertal - Applied Mathematics

Abstract:

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Stochastic Volatility, Levy Models, FFT, Hedge Strategies, Calibration, Exotic Options