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Search: person:"Kienitz, Joerg"
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4
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Kienitz, Jörg
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McWalter, Thomas A.
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ECONIS (ZBW)
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Effective stochastic local volatility models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467
Saved in:
2
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
3
Dynamic initial margin estimation based on quantiles of Johnson distributions
McWalter, Thomas A.
;
Kienitz, Jörg
;
Nowaczyk, Nikolai
; …
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
4
,
pp. 93-116
Persistent link: https://www.econbiz.de/10014247874
Saved in:
4
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
5
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
Saved in:
6
Recursive marginal quantization of higher-order schemes
McWalter, Thomas A.
;
Rudd, Ralph
;
Kienitz, Jörg
; …
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 693-706
Persistent link: https://www.econbiz.de/10011906463
Saved in:
7
Monte-Carlo-Methoden für das Risikomanagement und Treasury
Kienitz, Jörg
;
Küpker, Horst
- In:
Bankrisikomanagement : Mindestanforderungen, …
,
(pp. 535-565)
.
2008
Persistent link: https://www.econbiz.de/10003710851
Saved in:
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