Thomas Andrew McWalter
|[This author has chosen not to make the email address public]|
(50%) University of Cape Town, Department of Actuarial Sciencehttp://www.uct.ac.za
South Africa, Cape Town
(50%) Faculty of Economic and Financial Sciences Auckland Park, South Africa
University of Johannesburg
: +27 (0)11 559 2492
+27 (0)11 559 2036
P.O. Box 524, Auckland Park 2006
RePEc:edi:serauza (more details at EDIRC)
Research outputJump to: Working papers Articles
- Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018. "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers 1801.07044, arXiv.org, revised Jan 2018.
- T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2017. "Recursive Marginal Quantization of Higher-Order Schemes," Papers 1701.02681, arXiv.org.
- Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2017. "Fast Quantization of Stochastic Volatility Models," Papers 1704.06388, arXiv.org.
- Hardy Hulley & Thomas A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney.
CitationsMany of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.
- T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2017.
"Recursive Marginal Quantization of Higher-Order Schemes,"
- Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2017. "Quantization goes Polynomial," Papers 1710.11435, arXiv.org, revised Nov 2017.
- Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised Dec 2017.
- Ralph Rudd & Thomas A. McWalter & Jorg Kienitz & Eckhard Platen, 2017. "Fast Quantization of Stochastic Volatility Models," Research Paper Series 382, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hardy Hulley & Thomas A. McWalter, 2008.
"Quadratic Hedging of Basis Risk,"
Research Paper Series
225, Quantitative Finance Research Centre, University of Technology, Sydney.
- Stefan Ankirchner & Gregor Heyne, 2012. "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, vol. 16(1), pages 17-43, January.
- Ismail Laachir & Francesco Russo, 2016. "BSDEs, càdlàg martingale problems and orthogonalisation under basis risk," Working Papers hal-01086227, HAL.
- Ankirchner, Stefan & Dimitroff, Georgi & Heyne, Gregor & Pigorsch, Christian, 2012. "Futures Cross-Hedging with a Stationary Basis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1361-1395, December.
- Michael Monoyios, 2010. "Utility-Based Valuation and Hedging of Basis Risk With Partial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 519-551.
- Stefan Ankirchner & Christian Pigorsch & Nikolaus Schweizer, 2014. "Estimating Residual Hedging Risk With Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-29.
More informationResearch fields, statistics, top rankings, if available.
Access and download statistics for all items
NEP FieldsNEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Thomas Andrew McWalter should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.