5 citations · 7 across the 4 of their papers we have counts for
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q-fin.MF2017
Fast Quantization of Stochastic Volatility Models
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is ineffi…
q-fin.CP2017
Recursive Marginal Quantization of Higher-Order Schemes
T. A. McWalter, R. Rudd, J. Kienitz +1
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal co…