Interest Rate Modelling

Kienitz, J. and Caspers, P.

Interest Rates Explained – Volume 2, Models

in preparation (with Palgrave McMillan)

Support Material:
–> Excel Sheets … and more

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Kienitz, J.

Interest Rates Explained – Volume 1, Products and Markets

Palgrave McMillan, December 2014

Support Material:
> Excel Sheets … and more
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Programming and Financial Derivatives

J. Kienitz and D. Wetterau

Financial Modelling

Theory, Practice and Implementation with Matlab source

Wiley, October 2012

Buchcover Jörg Kienitz & Daniel Wetterau: financial Modelling - MATLAB
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Author Site:
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D. Duffy and J. Kienitz

Monte Carlo Frameworks

Building High Performance Applications in C++

Wiley, September 2009

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Book Chapters

Novel Mathematics inspired by Industrial Challenges

Kienitz, J., T. A. McWalter, R. Rudd, E. Platen,  “Quantization Methods for Stochastic Differential Equations“, Springer 3, 2022, article, book link

Novel Methods in Computational Finance

Kienitz, J. “Negative Rates – New Market Practice”
Springer 2017, article, book linkdownload

Novel Methods in Computational Finance

Kienitz, J., McWalter T., Sheppard, R.,“PDE Methods for SABR”
Springer 2017, article, book linkdownload


Kienitz, J. and Küpker, H., „Risikomanagement – Monte Carlo Methoden für Nicht-Gaußsche Verteilungen“
Schaeffer-Poeschel Verlag, February 2012


Kienitz, J. and Küpker, H., „Monte Carlo Methoden für das Risikomanagement im Treasury“
Gabler Verlag, May 2008

Introduction to C++ for Financial Engineering

Kienitz, J., „Monte Carlo Methods in Finance“
Duffy, D., Wiley 2006


since 05/2010

Journal for Futures Markets,
International Journal of Theoretical and Applied Finance,
Mathematical Finance, Siam Journal on Financial Mathematics and RISK

Member of the Editorial Board

01/2010 – 12/2016
International Review of Applied Financial Issues and Economics