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 1 2 2 39
Fast Quantization of Stochastic Volatility Models 0 0 0 96 0 0 2 155
Quadratic Hedging of Basis Risk 0 0 0 134 0 0 3 419
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 0 0 1 26
Recursive Marginal Quantization of Higher-Order Schemes 1 3 3 8 1 3 4 37
Robust Product Markovian Quantization 0 0 1 4 1 1 2 13
Total Working Papers 1 3 4 252 3 6 14 689

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 0 3
Black economic empowerment regulation and risk incentives 0 0 2 5 0 0 4 15
Dynamic initial margin estimation based on quantiles of Johnson distributions 0 0 0 0 0 0 1 1
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL 0 0 0 2 0 1 1 22
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 0 0 0 10
Effective stochastic local volatility models 0 0 0 0 0 0 3 3
Effective stochastic volatility: applications to ZABR-type models 0 0 0 7 0 1 4 36
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 1 1 2 8
On stock-based loans 0 0 0 3 1 1 2 12
Quadratic Hedging of Basis Risk 0 0 0 21 0 0 4 140
Recursive marginal quantization of higher-order schemes 0 0 0 4 0 1 1 14
Robust product Markovian quantization 0 0 0 0 0 0 0 0
Total Journal Articles 0 0 2 48 2 5 23 284

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Statistics updated 2025-09-05