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
Buy Here:
amazon.de
Book Website:
palgrave.com
Kienitz, J.
Interest Rates Explained – Volume 1, Products and Markets
Palgrave McMillan, December 2014
Support Material:
> Excel Sheets … and more
Buy Here:
amazon.de
Book Website:
palgrave.com
Programming and Financial Derivatives
J. Kienitz and D. Wetterau
Financial Modelling
Theory, Practice and Implementation with Matlab source
Wiley, October 2012
Book Site:
wiley.com
Author Site:
de.mathworks.com
Supporting Material:
de.mathworks.com
Buy here:
amazon.de
D. Duffy and J. Kienitz
Monte Carlo Frameworks
Building High Performance Applications in C++
Wiley, September 2009
Book Website:
wiley.com
Buy here:
amazon.com
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 link, download
Novel Methods in Computational Finance
Kienitz, J., McWalter T., Sheppard, R.,“PDE Methods for SABR”
Springer 2017, article, book link, download
Kontrahentenrisiko
Kienitz, J. and Küpker, H., „Risikomanagement – Monte Carlo Methoden für Nicht-Gaußsche Verteilungen“
Schaeffer-Poeschel Verlag, February 2012
Bankenrisikomanagement
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
Referee
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