Papers

Peer Review

(Journals with a review process)

  • Q. Geng, J. Kienitz, G. Lee, N. Nowaczyk, The DCKE method, in preparation
  • M. Felpel, J. Kienitz, T. McWalter, Effective Stochastic Volatility Models of ZABR type – to appear in Quantitative Finance 2020
  • J. Kienitz, S. K. Acar, Q. Liang, N. Nowaczyk, Deep Option Pricing – Term Structure Models, Journal of Machine Learning in Finance 1, 2020
  • J. Kienitz, T. McWalter, R. Rudd, E. Platen, Fast Quantization of Stochastic Volatility Models – in revision with Journal of Computational Finance
  • J. Kienitz, T. McWalter, R. Rudd, E. Platen, Real World Option Pricing – in revision
  • J. Kienitz, T. McWalter, R. Rudd, E. Platen, Recursive Marginal Quantization of Higher-Order Schemes, Quantitative Finance 1, 2018
  • Beyer, P., Kienitz, J., Pricing Forward Start Options in Models Based on (Time-Changed) Levy Processes, The Icfai University Journal of Derivatives Markets, Vol. VI, No. 2, pp. 7-23, April 2009
  • Kienitz, J., Transforming Volatility – Multi Curve Cap and Swaption Volatilities -, International Review of Applied Financial Issues and Economics, Volume 5, Issue 1, 2014
  • Kienitz, J., The CGMY Model, in: Encyclopedia of Quantitative Finance, Wiley 2010
  • Kammeyer, H., Kienitz, J., The Heston-Hull-White Model III – Implementation and Design , Wilmott Journal, May 2012
  • Kammeyer, H., Kienitz, J., The Heston-Hull-White Model II – Numerics and Examples, Wilmott Journal, March 2012
  • Kammeyer, H., Kienitz, J., The Heston-Hull-White Model I – Finance and Analytics, Wilmott Journal, January 2012
  • Fries, C., Kienitz, J., Monte-Carlo Simulation with Boundary Conditions (with Applications to Stress Testing, CEV and Variance-Gamma Simulation) (with C. Fries), International Journal of Applied Financial Issues and Economics, Volume 4, Issue 3, 2012
  • Kienitz, J., Monte Carlo Greeks for Advanced Financial Applications- Jump Diffusions and (Time-Changed) Levy Processes based Models
    International Review of Applied Financial Issues and Economics, Vol. II, No. 1, March 2010
  • Kienitz, J., Stochastic Processes in Finance – Part II, Wilmott Magazine January 2008
  • Kienitz, J., Stochastic Processes in Finance – Part I, Wilmott Magazine November 2007
  • Duffy, D., Kienitz, J., Software Frameworks in Quantitative Finance, Part I Fundamental Principles and Applications to Monte Carlo Methods, Wilmott Magazine March 2007
  • Duffy, D., Kienitz, J., Monte Carlo Methods in Quantitative Finance – Generic and Efficient MC Solver in C++, Wilmott Magazine, 2005

 

Non-Peer Reviewed or not published

(either journals with no review process or preprints)

 

Thesis and Preprints

  • Kienitz, J., Models and Numerical Techniques for Managing Volatility in Practice, Habilitation Thesis, University of Wuppertal, 2015
  • Kienitz, J., Convergence of Markov Chains via Analytic and Isoperimetric Inequalities, Dissertation University of Bielefeld, 2000
  • Kienitz, J., Zur stochastischen Analysis von Fleming-Viot Prozessen, University of Bielefeld, Diploma Thesis 1998