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q-fin.CP2020
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…
q-fin.CP2018
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…
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…