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 1 2 7 162
Fast Quantization of Stochastic Volatility Models 0 0 0 3 2 3 10 47
Quadratic Hedging of Basis Risk 0 0 0 134 4 6 13 431
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 1 1 8 34
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 2 3 10 44
Robust Product Markovian Quantization 0 0 0 4 2 3 11 23
Total Working Papers 0 0 3 252 12 18 59 741

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 2 3 5 8
Black economic empowerment regulation and risk incentives 0 0 0 5 2 3 14 29
Dynamic initial margin estimation based on quantiles of Johnson distributions 1 3 4 4 4 9 12 12
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 2 3 6 10 31
ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 1 3 4 6 15
Effective Markovian projection: application to CMS spread options and mid-curve swaptions 0 0 0 3 2 3 9 19
Effective stochastic local volatility models 0 0 0 0 1 1 5 8
Effective stochastic volatility: applications to ZABR-type models 1 1 1 8 2 5 22 57
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS 0 0 0 1 0 0 3 14
On buybacks, dilutions, dividends, and the pricing of stock‐based claims 0 0 0 1 0 0 6 13
On stock-based loans 0 0 1 4 3 4 41 52
Quadratic Hedging of Basis Risk 0 0 0 21 3 3 8 148
Recursive marginal quantization of higher-order schemes 0 0 0 4 1 5 9 22
Robust product Markovian quantization 0 1 1 1 2 3 9 9
Total Journal Articles 2 5 7 55 28 49 159 437

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Statistics updated 2026-05-06