Research

Peer-reviewed Papers

Backwell, A., & Rudd, R. (2022). Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments. Applied Economics, 1-10.
Rudd, R., McWalter, T. A., & Kienitz, J. (2022). Robust product Markovian quantization. Journal of Computational Finance.
McWalter, T., Kienitz, J., Nowaczyk, N., Rudd, R., & Acar, S. K. (2022). Dynamic initial margin estimation based on quantiles of Johnson distributions. Journal of Credit Risk, 18(4).
Feng, Y., Rudd, R., Baker, C., Mashalaba, Q., Mavuso, M., & Schlögl, E. (2021). Quantifying the model risk inherent in the calibration and recalibration of option pricing models. Risks, 9(1), 13.
McWalter, T. A., Rudd, R., Kienitz, J., & Platen, E. (2018). Recursive marginal quantization of higher-order schemes. Quantitative Finance, 18(4), 693-706.

Kienitz, J., McWalter, T. A., Rudd, R., & Platen, E. (2022). Quantization Methods for Stochastic Differential Equations. In Novel Mathematics Inspired by Industrial Challenges (pp. 299-329). Cham: Springer International Publishing.

Bachand, A., Doyon, B., Schulz, R., Rudd, R., & Raymond, J. (2023). Numerical Model for Underground Hydrogen Storage in Cased Boreholes. In IRES 2023: International Renewable Energy Storage and Systems Conference.
Audunsson, H., Rouvrais, S., Rudd, R., Kristjánsson, R., & Moschetta, O. M. (2022, June). Does a master’s program in engineering require a final project?. In CDIO 2022: 18th CDIO International Conference.

Rudd, R. (2018). Recursive marginal quantization: extensions and applications in finance (Doctoral dissertation, University of Cape Town).
Rudd, R. (2014). Optimal tree methods (Master’s thesis, University of Cape Town).