| Financial modelling: Theory, implementation and practice with MATLAB source J Kienitz, D Wetterau John Wiley & Sons, 2013 | 147 | 2013 |
| Monte Carlo Frameworks: Building Customisable High-Performance C++ Applications DJ Duffy, J Kienitz John Wiley & Sons, 2009 | 50 | 2009 |
| Recursive marginal quantization of higher-order schemes TA McWalter, R Rudd, J Kienitz, E Platen Quantitative Finance 18 (4), 693-706, 2018 | 24 | 2018 |
| Pricing forward start options in models based on (time-changed) Lévy processes P Beyer, J Kienitz Available at SSRN 1319703, 2008 | 19 | 2008 |
| Interest rate derivatives explained: Volume 1: Products and markets J Kienitz Palgrave Macmillan UK, 2014 | 16 | 2014 |
| Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling J Kienitz, P Caspers Springer, 2017 | 10 | 2017 |
| Transforming volatility-multi curve cap and swaption volatilities J Kienitz Available at SSRN 2204702, 2013 | 9 | 2013 |
| Fast quantization of stochastic volatility models R Rudd, TA McWalter, J Kienitz, E Platen arXiv preprint arXiv:1704.06388, 2017 | 8 | 2017 |
| Financial modelling J Kienitz, D Wetterau (No Title), 2012 | 8 | 2012 |
| Option Valuation in Multivariate SABR Models-with an Application to the CMS Spread J Kienitz, M Wittke preprint, 2010 | 7 | 2010 |
| Effective stochastic volatility: applications to ZABR-type models M Felpel, J Kienitz, TA McWalter Quantitative Finance 21 (5), 837-852, 2021 | 6 | 2021 |
| Dynamic initial margin estimation based on quantiles of johnson distributions T McWalter, J Kienitz, N Nowaczyk, R Rudd, SK Acar Available at SSRN 3147811, 2018 | 6 | 2018 |
| PDE methods for SABR J Kienitz, T McWalter, R Sheppard Novel methods in computational finance, 265-291, 2017 | 5 | 2017 |
| Option valuation in multivariate SMM/SABR models (with an application to the CMS spread) J Kienitz, M Wittke SABR Models (with an Application to the CMS Spread)(June 30, 2010), 2010 | 5 | 2010 |
| Convergence of Markov chains via analytic and isoperimetric inequalities J Kienitz | 5 | 2000 |
| The Heston–Hull–White Model Part I: Finance and Analytics H Kammeyer, J Kienitz Wilmott 2012 (57), 46-53, 2012 | 4 | 2012 |
| An implementation of the hybrid-Heston-Hull-White model J Kienitz, H Kammeyer Available at SSRN 1399389, 2009 | 4 | 2009 |
| Deep option pricing-term structure models J Kienitz, SK Acar, Q Liang, N Nowaczyk Available at SSRN 3498398, 2019 | 3 | 2019 |
| Affine Recursion Problem and a general framework for adjoint methods for calculating sensitivities for financial instruments J Kienitz, N Nowaczyk Available at SSRN 1957082, 2011 | 3 | 2011 |
| Effective Markovian projection: application to CMS spread options and mid-curve swaptions M Felpel, J Kienitz, TA McWalter Quantitative Finance 22 (6), 1169-1192, 2022 | 2 | 2022 |
