5 papers
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…
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Yu Feng, Ralph Rudd, Christopher Baker +3
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due…
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…
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…
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…