Ralph Rudd

The African Institute of Financial Markets and Risk Management

Leslie Commerce Building

Rondebosch

Cape Town, Western Cape 7700

South Africa

SCHOLARLY PAPERS

7

DOWNLOADS

481

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (7)

1.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 21 Posted: 23 Mar 2018 Last Revised: 20 Jan 2021
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 153 (224,188)
Citation 1

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

2.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 103 (301,858)
Citation 1

Abstract:

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quantization, option pricing, stochastic volatility

3.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 91 (327,087)
Citation 3

Abstract:

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quantization, option pricing

4.

Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Number of pages: 16 Posted: 11 Nov 2018
University of Technology Sydney (UTS) - Faculty of Business, The African Institute of Financial Markets and Risk Management, The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town, African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 75 (367,066)

Abstract:

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Model Risk, Relative Entropy, Option Pricing, Model Calibration, Model Recalibration, Stochastic Volatility

5.

Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts

Number of pages: 23 Posted: 01 Feb 2018
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 25 (569,624)

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quantization, option pricing, benchmark approach, real-world measure

6.

Robust Product Markovian Quantization

Number of pages: 19 Posted: 21 Jul 2020
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 23 (582,453)

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vector quantization, option pricing, stochastic volatility, calibration

7.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 11 (665,174)
Citation 3

Abstract:

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