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 3 2 3 5 42
Fast Quantization of Stochastic Volatility Models 0 0 0 96 1 1 2 156
Quadratic Hedging of Basis Risk 0 0 0 134 2 5 7 424
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 3 4 4 30
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 1 1 5 38
Robust Product Markovian Quantization 0 0 1 4 0 4 6 17
Total Working Papers 0 0 4 252 9 18 29 707

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 1 4
Black economic empowerment regulation and risk incentives 0 0 1 5 2 2 4 17
Dynamic initial margin estimation based on quantiles of Johnson distributions 0 1 1 1 1 2 3 3
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 1 1 1 10
Effective Markovian projection: application to CMS spread options and mid-curve swaptions 0 0 0 3 1 2 2 12
Effective stochastic local volatility models 0 0 0 0 1 2 3 5
Effective stochastic volatility: applications to ZABR-type models 0 0 0 7 6 10 14 48
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 0 1 4 2 12 15 25
Quadratic Hedging of Basis Risk 0 0 0 21 1 2 5 142
Recursive marginal quantization of higher-order schemes 0 0 0 4 3 3 4 17
Robust product Markovian quantization 0 0 0 0 0 3 3 3
Total Journal Articles 0 1 3 50 18 40 60 328

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Statistics updated 2026-01-09