Peer Review

(Journals with a review process)

• J. Kienitz, Semi-analytic conditional expectations, RISK, July 2022, Link to Risk, Cutting Edge
• Q. Geng, J. Kienitz, G. Lee, N. Nowaczyk, The DCKE method, RISK, January 2022, Link to RISK, Cutting Edge
• M. Felpel, J. Kienitz, T. McWalter, Effective Markovian projection: application to CMS spread options and mid-curve swaptions, Quantitative Finance, (2022) 22:6, 1169-1192, DOI: 10.1080/14697688.2022.2043558
• Nowaczyk, N., Kienitz, J., Acar, S.K. et al. How deep is your model? Network topology selection from a model validation perspective. J.Math.Industry 12, 1 (2022), Link to paper (Mathematics in Industry)
• M. Felpel, J. Kienitz, T. McWalter, Effective stochastic volatility: applications to ZABR-type models, Quantitative Finance, (2021), 21:5, 837- 852, DOI: 10.1080/14697688.2020.1814396
• J. Kienitz, S. K. Acar, Q. Liang, N. Nowaczyk, Deep Option Pricing – Term Structure Models, Journal of Machine Learning in Finance 1, 2020
• R. Rudd, , T. McWalter, J. Kienitz , E. Platen, Robust product Markovian quantization, Journal of Computational Finance, (2022), 25(4), 55–78, Link to paper
• 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)

• J. Kienitz, Stochastic volatility – a story of two decades of sabr and wilmott magazine,” Wilmott, vol. 2022, iss. 121, p. 24–26, 2022, Link to Wilmott Magazine
• J. Kienitz, Libor Market Model with Stochastic Basis – Calibration Using OIS Yield and Money Market Basis Spreads, 2013
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2211175
• J. Kienitz, Schuetterle, P. and Wittke, M., Basket CMS Derivatives in Term Structure Market Models with Stochastic Volatility, 2013
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1150898
• J. Kienitz and Wittke, M. Option Valuation in Multivariate SMM/SABR Modes (with an Application to the CMS Spread), Research Paper Series, Quantitative Finance Research Center of the University of Technology Sydney, Issue 272, 2011
• Kienitz, J., and Nowaczyk, N., Affine Recursion Problem and a general framework for Adjoint Methods for calculating sensitivities for financial instrument , 2011
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1957082
• Kienitz, J. and Kammeyer, H., An Implementation of the Hybrid-Heston-Hull-white Model, 2009
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1399389
• Kienitz, J., A Note on Monte Carlo Greeks using the Characteristic Function, 2008
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1307605
• Kienitz, J., A Note on Monte Carlo Greeks for Jump Diffusion and Other Levy Processes, 2008
  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1253265
• Kienitz, J., Spectral estimates: From finite to general state spaces, Printreihe des SFB 343 (Diskrete Strukturen in der Mathematik)
• Kienitz, J., A note on existence and path properties of time-dependent Fleming-Viot operators, Printreihe des SFB 343 (Diskrete Strukturen in der Mathematik)

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