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 0 1 155
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 1 3 40
Quadratic Hedging of Basis Risk 0 0 0 134 2 3 5 422
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 1 1 1 27
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 0 0 4 37
Robust Product Markovian Quantization 0 0 1 4 2 4 6 17
Total Working Papers 0 0 4 252 5 9 20 698

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 1 1 4
Black economic empowerment regulation and risk incentives 0 0 1 5 0 0 2 15
Dynamic initial margin estimation based on quantiles of Johnson distributions 1 1 1 1 1 1 2 2
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 2 0 1 2 23
ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 1 0 0 0 9
Effective Markovian projection: application to CMS spread options and mid-curve swaptions 0 0 0 3 1 1 1 11
Effective stochastic local volatility models 0 0 0 0 1 1 3 4
Effective stochastic volatility: applications to ZABR-type models 0 0 0 7 1 6 8 42
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS 0 0 0 1 0 0 1 11
On buybacks, dilutions, dividends, and the pricing of stock‐based claims 0 0 0 1 0 0 2 8
On stock-based loans 0 1 1 4 2 11 13 23
Quadratic Hedging of Basis Risk 0 0 0 21 0 1 4 141
Recursive marginal quantization of higher-order schemes 0 0 0 4 0 0 1 14
Robust product Markovian quantization 0 0 0 0 2 3 3 3
Total Journal Articles 1 2 3 50 8 26 43 310

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Statistics updated 2025-12-06