Ralph Rudd

Ralph Rudd

Reykjavik University - Reykjavík / Iceland
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 5398632
Reykjavík University
person_outline Ralph Rudd's MOST POPULAR ARTICLES
1-) Recursive marginal quantization of higher-order schemesTA McWalter, R Rudd, J Kienitz, E PlatenQuantitative Finance 18 (4), 693-706, 2018252018
2-) Dynamic initial margin estimation based on quantiles of johnson distributionsT McWalter, J Kienitz, N Nowaczyk, R Rudd, SK AcarAvailable at SSRN 3147811, 201882018
3-) Fast quantization of stochastic volatility modelsR Rudd, TA McWalter, J Kienitz, E PlatenarXiv preprint arXiv:1704.06388, 201782017
4-) Quantifying the model risk inherent in the calibration and recalibration of option pricing modelsY Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E SchlöglarXiv preprint arXiv:1810.09112, 201842018
5-) Quantifying the model risk inherent in the calibration and recalibration of option pricing modelsY Feng, R Rudd, C Baker, Q Mashalaba, M Mavuso, E SchlöglRisks 9 (1), 13, 202122021