Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Rudd, Ralph"'
Autor:
Cazaux, Hugo1 hugot20@ru.is, Rudd, Ralph2 ralphr@ru.is, Stefánsson, Hlynur3 hlynur@ru.is, Ólafsson, Sverrir3 sverriro@ru.is, Raberto, Marco4 marco.raberto@unige.it, Ásgeirsson, Eyjólfur Ingi3 eyjolfur@ru.is
Publikováno v:
Journal of Impact & ESG Investing. Fall2024, Vol. 5 Issue 1, p98-120. 23p.
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions. Product Markovian quantization (PMQ) reduces this problem to d one-dimensional q
Externí odkaz:
http://arxiv.org/abs/2006.15823
Autor:
Rudd, Ralph
Quantization techniques have been used in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and the efficient calibration of large derivati
Externí odkaz:
http://hdl.handle.net/11427/28378
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 to recalibration of model parameters (in contradiction to the model as
Externí odkaz:
http://arxiv.org/abs/1810.09112
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 the recursive marginal quantization (RMQ) and joint recursive marginal
Externí odkaz:
http://arxiv.org/abs/1801.07044
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is usually perform
Externí odkaz:
http://arxiv.org/abs/1704.06388
Autor:
Rudd, Ralph
Includes bibliographical references.
Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the paramete
Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the paramete
Externí odkaz:
http://hdl.handle.net/11427/8567
Autor:
Backwell, Alex1 (AUTHOR) alex.backwell@uct.ac.za, Rudd, Ralph1,2 (AUTHOR)
Publikováno v:
Applied Economics. Apr2023, Vol. 55 Issue 18, p2060-2069. 10p. 6 Charts, 3 Graphs.
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