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Details about Thomas Andrew McWalter

Workplace:University of Cape Town, Department of Actuarial Science
College of Business and Economics, University of Johannesburg, (more information at EDIRC)

Access statistics for papers by Thomas Andrew McWalter.

Last updated 2018-02-08. Update your information in the RePEc Author Service.

Short-id: pmc133


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Working Papers

2018

  1. Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
    Papers, arXiv.org Downloads View citations (1)

2017

  1. Fast Quantization of Stochastic Volatility Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    Also in Papers, arXiv.org (2017) Downloads View citations (6)
  2. Recursive Marginal Quantization of Higher-Order Schemes
    Papers, arXiv.org Downloads View citations (7)

2008

  1. Quadratic Hedging of Basis Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    See also Journal Article Quadratic Hedging of Basis Risk, JRFM, MDPI (2015) Downloads View citations (1) (2015)

Journal Articles

2015

  1. Quadratic Hedging of Basis Risk
    JRFM, 2015, 8, (1), 1-20 Downloads View citations (1)
    See also Working Paper Quadratic Hedging of Basis Risk, Research Paper Series (2008) Downloads View citations (6) (2008)
 
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