Ralph Rudd
Ralph Rudd
Senior Lecturer, University of Cape Town
Verified email at uct.ac.za
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
212018
Fast quantization of stochastic volatility models
R Rudd, T McWalter, J Kienitz, E Platen
Available at SSRN 2956168, 2017
62017
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
42021
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
32018
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
12018
Optimal tree methods
R Rudd
University of Cape Town, 2014
12014
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
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. Risks 9: 13
Y Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E Schlogl
s Note: MDPI stays neu-tral with regard to jurisdictional clai-ms in …, 2021
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 1–10