Concepedia

Peter Jäckel

PJ

6

Publications

558

Citations

6

H-Index

2000

Active since

Affiliations

University of Wuppertal(Current)

Peter Jäckel is an author at University of Wuppertal specializing in asset pricing, engineering, and business.

Top concepts

Publications per year

2000–2015

6

Publications

6

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

Riccardo Rebonato, Peter Jäckel · The Journal of Risk · 2000 · 290 citations

, , +22

Fast strong approximation Monte Carlo schemes for stochastic volatility models

Christian Kahl, Peter Jäckel · Quantitative Finance · 2006 · 156 citations

, , +21

Let's Be Rational

Peter Jäckel · Wilmott · 2015 · 43 citations

, , +13

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

Peter Jäckel, Riccardo Rebonato · The Journal of Computational Finance · 2003 · 41 citations

, , +8

Linking Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions

Peter Jäckel, Riccardo Rebonato · 2000 · 17 citations

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