Search Results - person:"McWalter, Thomas A."

Analysing quantiles in models of forward term rates

McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18

The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...

Persistent link: https://www.econbiz.de/10014233216

Effective stochastic local volatility models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 23 (2023) 12, pp. 1731-1750

Persistent link: https://www.econbiz.de/10014452467

On buybacks, dilutions, dividends, and the pricing of stock-based claims

Backwell, Alex; McWalter, Thomas A.; Ritchken, Peter H. - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 273-308

Persistent link: https://www.econbiz.de/10012815957

Effective Markovian projection : application to CMS spread options and mid-curve swaptions

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192

Persistent link: https://www.econbiz.de/10013367891

Dynamic initial margin estimation based on quantiles of Johnson distributions

McWalter, Thomas A.; Kienitz, Jörg; Nowaczyk, Nikolai; … - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 93-116

Persistent link: https://www.econbiz.de/10014247874

Black economic empowerment regulation and risk incentives

McWalter, Thomas A.; Ritchken, Peter H. - In: Journal of economic dynamics & control 139 (2022), pp. 1-32

Persistent link: https://www.econbiz.de/10013464904

On stock-based loans

McWalter, Thomas A.; Ritchken, Peter H. - In: Journal of financial intermediation 52 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013552487

Robust product Markovian quantization

Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78

Persistent link: https://www.econbiz.de/10014546287

Effective stochastic volatility : applications to ZABR-type models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 21 (2021) 5, pp. 837-852

Persistent link: https://www.econbiz.de/10012500196

On buybacks, dilutions, dividends, and the pricing of stock‐based claims

Backwell, Alex; McWalter, Thomas A.; Ritchken, Peter H. - In: Mathematical Finance 32 (2021) 1, pp. 273-308

Persistent link: https://www.econbiz.de/10012636240