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Ralph Rudd
Ralph Rudd
Assistant Professor, Reykjavik University
Verified email at ru.is
Title
Cited by
Cited by
Year
Recursive marginal quantization of higher-order schemes
TA McWalter, R Rudd, J Kienitz, E Platen
Quantitative Finance 18 (4), 693-706, 2018
222018
Fast quantization of stochastic volatility models
R Rudd, T McWalter, J Kienitz, E Platen
Available at SSRN 2956168, 2017
82017
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Y Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E Schlögl
Available at SSRN 3267775, 2018
42018
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
42018
Quantization under the real-world measure: Fast and accurate valuation of long-dated contracts
R Rudd, TA McWalter, J Kienitz, E Platen
arXiv preprint arXiv:1801.07044, 2018
22018
Recursive marginal quantization: extensions and applications in finance
R Rudd
University of Cape Town, 2018
22018
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. Risks, 9 (1)
Y Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E Schlögl
s Note: MDPI stays neu-tral with regard to jurisdictional clai-ms in …, 2021
12021
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Y Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E Schlögl
Risks 9 (1), 13, 2021
12021
Optimal tree methods
R Rudd
University of Cape Town, 2014
12014
Quantization Methods for Stochastic Differential Equations
J Kienitz, TA McWalter, R Rudd, E Platen
Novel Mathematics Inspired by Industrial Challenges, 299-329, 2022
2022
Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments
A Backwell, R Rudd
Available at SSRN 4035305, 2021
2021
Innovative technological and subsistence responses to marginal environments indicate complex cultural dynamics in southern Africa~ 90 000 years ago
A Mackay, S Armitage, E Niespolo, W Sharp, M Stahlschmidt, ...
2021
Robust Product Markovian Quantization
R Rudd, TA McWalter, J Kienitz, E Platen
arXiv preprint arXiv:2006.15823, 2020
2020
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Articles 1–13