Ralph Rudd

The African Institute of Financial Markets and Risk Management

Leslie Commerce Building

Rondebosch

Cape Town, Western Cape 7700

South Africa

  • The African Institute of Financial Markets and Risk Management

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    • Tel: +27 21 650 2474
SCHOLARLY PAPERS

8

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1,294

TOTAL CITATIONS

12

Scholarly Papers (8)

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1.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 24 Posted: 23 Mar 2018 Last Revised: 15 Nov 2022
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Cape Town (UCT), Independent, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 624 (92,831)
Citation 3

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dynamic initial margin (DIM); margin value adjustment (MVA); quantiles; Johnson distributions; least squares Monte Carlo.

2.

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

Number of pages: 16 Posted: 11 Nov 2018
Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schlögl
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 The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 173 (372,295)

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

3.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Cape Town (UCT) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 159 (400,670)
Citation 1

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quantization, option pricing, stochastic volatility

4.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 125 (486,981)
Citation 3

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quantization, option pricing

5.

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

Number of pages: 23 Posted: 01 Feb 2018
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Cape Town (UCT) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 65 (740,580)

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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
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Cape Town (UCT) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 54 (813,313)
Citation 1

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vector quantization, option pricing, stochastic volatility, calibration

7.

Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments

Number of pages: 17 Posted: 16 Feb 2022
Alex Backwell and Ralph Rudd
University of Cape Town and The African Institute of Financial Markets and Risk Management
Downloads 50 (843,651)

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hedging, interest-rate derivatives, interest-rate volatility, LIBOR market model

8.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 44 (893,473)
Citation 4

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