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Peter Jäckel · Study

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Peter Jäckel

6 works· latest 2015cluster: provisional

h-index6

i106

Citations1,088

Works here6

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Most cited in this library

Monte Carlo methods in finance2002 · 459 citations
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes2000 · 286 citations
Fast strong approximation Monte Carlo schemes for stochastic volatility models2006 · 145 citations
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes2011 · 116 citations
Let's Be Rational2015 · 43 citations

Works

6 shown

Let's Be Rational

Wilmott·2015·1 author

43citations

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

SSRN Electronic Journal·2011·2 authors·preprint·Open access

116citations

Fast strong approximation Monte Carlo schemes for stochastic volatility models

Quantitative Finance·2006·2 authors

145citations

The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence

The Journal of Computational Finance·2003·2 authors

39citations

Monte Carlo methods in finance

·2002·1 author

459citations

The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes

The Journal of Risk·2000·2 authors

286citations