Details about Thomas Andrew McWalter

Access statistics for papers by Thomas Andrew McWalter.

Last updated 2025-08-13. Update your information in the RePEc Author Service.

Short-id: pmc133

Working Papers

2020

1. Robust Product Markovian Quantization
   Papers, arXiv.org
   See also Journal Article Robust product Markovian quantization, Journal of Computational Finance, Journal of Computational Finance

2018

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

2017

3. Fast Quantization of Stochastic Volatility Models
   Papers, arXiv.org View citations (6)
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) View citations (6)
4. Recursive Marginal Quantization of Higher-Order Schemes
   Papers, arXiv.org View citations (7)
   See also Journal Article Recursive marginal quantization of higher-order schemes, Quantitative Finance, Taylor & Francis Journals (2018) View citations (15) (2018)

2008

5. Quadratic Hedging of Basis Risk
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
   See also Journal Article Quadratic Hedging of Basis Risk, JRFM, MDPI (2015) View citations (2) (2015)

Journal Articles

2023

1. Analysing Quantiles in Models of Forward Term Rates
   Risks, 2023, 11, (2), 1-18
2. Effective stochastic local volatility models
   Quantitative Finance, 2023, 23, (12), 1731-1750

2022

3. Black economic empowerment regulation and risk incentives
   Journal of Economic Dynamics and Control, 2022, 139, (C) View citations (1)
4. Effective Markovian projection: application to CMS spread options and mid-curve swaptions
   Quantitative Finance, 2022, 22, (6), 1169-1192
5. On buybacks, dilutions, dividends, and the pricing of stock‐based claims
   Mathematical Finance, 2022, 32, (1), 273-308 View citations (2)
6. On stock-based loans
   Journal of Financial Intermediation, 2022, 52, (C) View citations (3)

2021

7. Effective stochastic volatility: applications to ZABR-type models
   Quantitative Finance, 2021, 21, (5), 837-852

2020

8. MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-29 View citations (1)

2018

9. EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (04), 1-26 View citations (1)
   Also in International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (07), 1-2 (2018)
10. Recursive marginal quantization of higher-order schemes
    Quantitative Finance, 2018, 18, (4), 693-706 View citations (15)
    See also Working Paper Recursive Marginal Quantization of Higher-Order Schemes, Papers (2017) View citations (7) (2017)

2015

11. Quadratic Hedging of Basis Risk
    JRFM, 2015, 8, (1), 1-20 View citations (2)
    See also Working Paper Quadratic Hedging of Basis Risk, Research Paper Series (2008) View citations (6) (2008)

Undated

12. Dynamic initial margin estimation based on quantiles of Johnson distributions
    Journal of Credit Risk
13. Robust product Markovian quantization
    Journal of Computational Finance
    See also Working Paper Robust Product Markovian Quantization, Papers (2020) (2020)