3 papers
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.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…