Thomas Andrew McWalter
Names
| first: | Thomas |
| middle: | Andrew |
| last: | McWalter |
Identifer
| RePEc Short-ID: | pmc133 |
Contact
Affiliations
-
University of Cape Town, Department of Actuarial Science (weight: 50%)
- http://www.uct.ac.za
- location: South Africa, Cape Town
-
University of Johannesburg
/ College of Business and Economics (weight: 50%)
- EDIRC entry
- location:
Research profile
author of:
- Recursive Marginal Quantization of Higher-Order Schemes (repec:arx:papers:1701.02681)
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen - Fast Quantization of Stochastic Volatility Models (repec:arx:papers:1704.06388)
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen - Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts (repec:arx:papers:1801.07044)
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen - Robust Product Markovian Quantization (repec:arx:papers:2006.15823)
by Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen - On buybacks, dilutions, dividends, and the pricing of stock‐based claims (repec:bla:mathfi:v:32:y:2022:i:1:p:273-308)
by Alex Backwell & Thomas A. McWalter & Peter H. Ritchken - Black economic empowerment regulation and risk incentives (repec:eee:dyncon:v:139:y:2022:i:c:s0165188922001129)
by McWalter, Thomas A. & Ritchken, Peter H. - On stock-based loans (repec:eee:jfinin:v:52:y:2022:i:c:s1042957322000444)
by McWalter, Thomas A. & Ritchken, Peter H. - Quadratic Hedging of Basis Risk (repec:gam:jjrfmx:v:8:y:2015:i:1:p:83-102:d:45402)
by Hardy Hulley & Thomas A. McWalter - Analysing Quantiles in Models of Forward Term Rates (repec:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181)
by Thomas A. McWalter & Erik Schlögl & Jacques van Appel - Robust product Markovian quantization (repec:rsk:journ0:7932281)
by Ralph Rudd & Thomas A. McWalter & Jörg Kienitz & Eckhard Platen - Dynamic initial margin estimation based on quantiles of Johnson distributions (repec:rsk:journ1:7955228)
by Thomas A. McWalter & Jörg Kienitz & Nikolai Nowaczyk & Ralph Rudd & Sarp K. Acar - Recursive marginal quantization of higher-order schemes (repec:taf:quantf:v:18:y:2018:i:4:p:693-706)
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen - Effective stochastic volatility: applications to ZABR-type models (repec:taf:quantf:v:21:y:2021:i:5:p:837-852)
by M. Felpel & J. Kienitz & T. A. McWalter - Effective Markovian projection: application to CMS spread options and mid-curve swaptions (repec:taf:quantf:v:22:y:2022:i:6:p:1169-1192)
by M. Felpel & J. Kienitz & T. A. McWalter - Effective stochastic local volatility models (repec:taf:quantf:v:23:y:2023:i:12:p:1731-1750)
by M. Felpel & J. Kienitz & T.A. McWalter - Quadratic Hedging of Basis Risk (repec:uts:rpaper:225)
by Hardy Hulley & Thomas A. McWalter - Fast Quantization of Stochastic Volatility Models (repec:uts:rpaper:382)
by Ralph Rudd & Thomas A. McWalter & Jorg Kienitz & Eckhard Platen - Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model (repec:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500206)
by Jacques Van Appel & Thomas A. Mcwalter - Erratum: Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model (repec:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918920024)
by Jacques Van Appel & Thomas A. Mcwalter - Moment Approximations Of Displaced Forward-Libor Rates With Application To Swaptions (repec:wsi:ijtafx:v:23:y:2020:i:07:n:s0219024920500466)
by Jacques Van Appel & Thomas A. Mcwalter