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

acadia

93 Longwater Circle

Boston, MA 02061

United States

  • University of Wuppertal - Applied Mathematics

  • University of Cape Town (UCT)

  • acadia

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 5,933

SSRN RANKINGS

Top 5,933

in Total Papers Downloads

12,263

SSRN CITATIONS
Rank 30,161

SSRN RANKINGS

Top 30,161

in Total Papers Citations

16

CROSSREF CITATIONS

16

Scholarly Papers (27)

Actions:
Email selected abstracts
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 1,772 (16,408)
Citation 2

Abstract:

Loading...

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 1,497 (21,290)
Citation 2

Abstract:

Loading...

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 1,007 (37,870)
Citation 5

Abstract:

Loading...

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

4.

Dynamically Controlled Kernel Estimation

Number of pages: 17 Posted: 20 Apr 2021
Joerg Kienitz, Nikolai Nowaczyk and Nancy(Qingxin) Geng
University of Wuppertal - Applied Mathematics, affiliation not provided to SSRN and Imperial College London - Department of Mathematics
Downloads 792 (52,789)
Citation 1

Abstract:

Loading...

Gaussian process regression, control variates, kernel density estimation, Monte Carlo, regression, exposure, hedging, machine learning

5.

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 763 (55,490)
Citation 4

Abstract:

Loading...

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

6.

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 706 (61,585)

Abstract:

Loading...

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

7.

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 670 (65,925)
Citation 3

Abstract:

Loading...

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

8.

GMM DCKE - Semi-Analytic Conditional Expectations

Number of pages: 15 Posted: 12 Aug 2021 Last Revised: 08 Sep 2021
Joerg Kienitz
University of Wuppertal - Applied Mathematics
Downloads 666 (66,396)

Abstract:

Loading...

Gaussian Mean Mixture, Machine Learning, Statistical Learning, Conditional Expectation, Bermudan Option, Local Stochastic Volatility, Rough Bergomi,

9.

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 575 (79,847)
Citation 1

Abstract:

Loading...

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

10.

Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions

Number of pages: 33 Posted: 29 Mar 2021 Last Revised: 27 Jan 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 519 (90,924)

Abstract:

Loading...

Stochastic volatility, SABR, ZABR, Markovian Projection, Effective PDE, Approximation formula

11.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Downloads 459 (104,977)
Citation 2

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 24 Posted: 23 Mar 2018 Last Revised: 15 Nov 2022
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, affiliation not provided to SSRN, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 459 (104,176)
Citation 3

Abstract:

Loading...

dynamic initial margin (DIM); margin value adjustment (MVA); quantiles; Johnson distributions; least squares Monte Carlo.

12.

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 affiliation not provided to SSRN
Downloads 419 (117,095)
Citation 1

Abstract:

Loading...

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

13.

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 419 (117,095)
Citation 1

Abstract:

Loading...

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

14.

Effective Stochastic Local Volatility Models

Number of pages: 43 Posted: 28 Jan 2022 Last Revised: 28 Mar 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 371 (134,494)

Abstract:

Loading...

Stochastic local volatility, Stochastic volatility, SABR, ZABR, Heston, Approximation formula

15.

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 290 (175,129)
Citation 4

Abstract:

Loading...

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

16.

Effective Stochastic Volatility: Applications to ZABR-type Models

Number of pages: 27 Posted: 05 Feb 2020 Last Revised: 24 Jan 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 263 (193,381)
Citation 2

Abstract:

Loading...

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

17.

The CV Makes the Difference – Control Variates for Neural Networks

Number of pages: 12 Posted: 25 Feb 2020 Last Revised: 27 Apr 2020
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and affiliation not provided to SSRN
Downloads 220 (230,015)
Citation 1

Abstract:

Loading...

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

18.

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 affiliation not provided to SSRN
Downloads 188 (265,476)

Abstract:

Loading...

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

19.

How Deep are Financial Models?

Number of pages: 13 Posted: 16 Jul 2020
Nikolai Nowaczyk, Joerg Kienitz, Sarp Kaya Acar and Qian Liang
affiliation not provided to SSRN, University of Wuppertal - Applied Mathematics, Quaternion Risk Management and Quaternion Risk Management
Downloads 174 (284,200)

Abstract:

Loading...

neural networks, model validation, SR 11-7, derivatives, risk management, pricing

20.

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 137 (346,061)

Abstract:

Loading...

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

21.

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 131 (358,156)
Citation 1

Abstract:

Loading...

quantization, option pricing, stochastic volatility

22.

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 107 (415,316)
Citation 3

Abstract:

Loading...

quantization, option pricing

23.

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 45 (664,310)

Abstract:

Loading...

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

24.

Robust Product Markovian Quantization

Number of pages: 19 Posted: 21 Jul 2020
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 42 (682,557)

Abstract:

Loading...

vector quantization, option pricing, stochastic volatility, calibration

25.

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 30 (766,177)
Citation 4

Abstract:

Loading...

26.

Robust Product Markovian Quantization

Journal of Computational Finance, Vol. 25, No. 4, 2021
Number of pages: 24 Posted: 21 Mar 2022
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT) - 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 1 (1,018,964)
  • Add to Cart

Abstract:

Loading...

vector quantization, recursive marginal quantization, option pricing, stochastic volatility, calibration

27.

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:

Loading...

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