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Recursive marginal quantization of higher-order schemes
McWalter, Thomas A.; Rudd, Ralph; Kienitz, Jörg; … - In: Quantitative finance 18 (2018) 4, pp. 693-706
Persistent link: https://www.econbiz.de/10011906463
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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
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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
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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
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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
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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
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Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
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Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
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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
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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