18 citations · 65 across the 31 of their papers we have counts for
4 papers · 1 filter
Robust Product Markovian Quantization
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions. Product Ma…
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies t…
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…
On honest times in financial modeling
Ashkan Nikeghbali, Eckhard Platen
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusi…