Some new applications of gaussian mixture models for applications in quantitative finance
0 citationsMathematische Semesterberichte
Jörg Kienitz
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79Publications signalées
131Citations signalées
4Affiliations récentes
Institutions déclarées
Domaines associés
Stochastic processes and financial applicationsFinancial Risk and Volatility ModelingCredit Risk and Financial RegulationsInsurance, Mortality, Demography, Risk ManagementComplex Systems and Time Series Analysis
Publications récentes
Gaussian Generation of Implied Volatility Surfaces - GenAI the Gaussian Way, Part 2
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Exciting Times are Ahead - Gaussian Views and Yield Curve Extrapolation
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Effective stochastic local volatility models
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Hedging in the Age of Statistical Learning
1 citationWilmott
Stochastic Volatility � a story of two decades of SABR and Wilmott Magazine
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Effective Markovian projection: application to CMS spread options and mid-curve swaptions
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1 citationQuantitative Finance
How deep is your model? Network topology selection from a model validation perspective
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4 citationsJournal of Mathematics in Industry
Quantization Methods for Stochastic Differential Equations
Jörg Kienitz, T. A. McWalter, R. Rudd, E. Platen
0 citationsMathematics in industry
Dynamic initial margin estimation based on quantiles of Johnson distributions
Jörg Kienitz, Nikolai Nowaczyk, Ralph Rudd, Sarp K. Acar
1 citationThe Journal of Credit Risk
Effective stochastic volatility: applications to ZABR-type models
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7 citationsQuantitative Finance
Recursive marginal quantization of higher-order schemes
Thomas A. McWalter, Ralph Rudd, Jörg Kienitz, Eckhard Platen
17 citationsQuantitative Finance
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