| Recursive marginal quantization of higher-order schemes TA McWalter, R Rudd, J Kienitz, E Platen Quantitative Finance 18 (4), 693-706, 2018 | 23 | 2018 |
| Fast quantization of stochastic volatility models R Rudd, TA McWalter, J Kienitz, E Platen arXiv preprint arXiv:1704.06388, 2017 | 9 | 2017 |
| 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 | 6 | 2018 |
| 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 arXiv preprint arXiv:1810.09112, 2018 | 5 | 2018 |
| 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 | 2 | 2021 |
| 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 | 2 | 2018 |
| Recursive marginal quantization: extensions and applications in finance R Rudd University of Cape Town, 2018 | 2 | 2018 |
| 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 | 1 | 2021 |
| Optimal tree methods R Rudd University of Cape Town, 2014 | 1 | 2014 |
| Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments A Backwell, R Rudd Applied Economics 55 (18), 2060-2069, 2023 | | 2023 |
| Quantization Methods for Stochastic Differential Equations J Kienitz, TA McWalter, R Rudd, E Platen Novel Mathematics Inspired by Industrial Challenges, 299-329, 2022 | | 2022 |
| Robust product Markovian quantization R Rudd, TA McWalter, J Kienitz, E Platen arXiv preprint arXiv:2006.15823, 2020 | | 2020 |
Thomas A. McWalterUniversity of Cape Town, University of JohannesburgAdresse e-mail validée de analytical.co.za
