Jörg Kienitz

1The African Institute of Financial Markets and Risk Management

Jörg Kienitz lectures at university level on advanced financial modelling and implementation at the universities of Cape Town (UCT) and Wuppertal (BUW) where he is Adjunct Associate Professor, respectively Assistant Professor. He is a speaker at several major quant finance conferences including Global Derivatives and WBS Fixed Income. He is Partner at Acadia Quantitative Services where he is responsible for business development, pricing models research and risk management consulting. Prior to this he was a Director at Deloitte and Co-lead of the quant team. Before joining Deloitte, he was Head of Quantitative Analytics at Deutsche Postbank AG where he was involved in developing/implementing models for pricing, hedging and asset allocation.

Articles by Jörg Kienitz

Original research

Dynamic initial margin estimation based on quantiles of Johnson distributions

The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.

18 Nov 2022

Cutting Edge

Semi-analytic conditional expectations

A data-driven approach to computing expectations for the pricing and hedging of exotics

21 Jun 2022

Original research

Robust product Markovian quantization

In this paper the authors formulate the one-dimensional RMQ and d-dimensional PMQ algorithms as standard vector quantization problems by deriving the density, distribution and lower partial expectation functions of the random variables to be quantized at…

24 Feb 2022

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here