Access Statistics for Thomas Andrew McWalter

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Fast Quantization of Stochastic Volatility Models 0 0 0 96 0 2 9 164
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 2 11 49
Quadratic Hedging of Basis Risk 0 0 0 134 0 1 13 432
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 0 1 9 35
Recursive Marginal Quantization of Higher-Order Schemes 0 0 1 8 0 1 9 45
Robust Product Markovian Quantization 0 0 0 4 0 2 13 25
Total Working Papers 0 0 1 252 0 9 64 750

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 5 8
Black economic empowerment regulation and risk incentives 0 0 0 5 0 4 18 33
Dynamic initial margin estimation based on quantiles of Johnson distributions 0 0 4 4 0 1 12 13
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 2 0 0 9 31
ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 1 0 0 6 15
Effective Markovian projection: application to CMS spread options and mid-curve swaptions 0 0 0 3 1 1 10 20
Effective stochastic local volatility models 0 0 0 0 0 0 5 8
Effective stochastic volatility: applications to ZABR-type models 1 1 2 9 2 3 24 60
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS 0 0 0 1 1 1 4 15
On buybacks, dilutions, dividends, and the pricing of stock‐based claims 0 0 0 1 1 4 10 17
On stock-based loans 0 0 1 4 1 3 44 55
Quadratic Hedging of Basis Risk 0 0 0 21 0 1 9 149
Recursive marginal quantization of higher-order schemes 0 0 0 4 2 3 11 25
Robust product Markovian quantization 0 0 1 1 0 2 11 11
Total Journal Articles 1 1 8 56 8 23 178 460

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Statistics updated 2026-08-07