Thomas Andrew McWalter

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Effective stochastic local volatility models Quantitative Finance	2024-04-12	Paper
On buybacks, dilutions, dividends, and the pricing of stock‐based claims Mathematical Finance	2023-09-28	Paper
Quantization methods for stochastic differential equations	2022-10-07	Paper
Black economic empowerment regulation and risk incentives Journal of Economic Dynamics and Control	2022-07-08	Paper
Effective Markovian projection: application to CMS spread options and mid-curve swaptions Quantitative Finance	2022-05-27	Paper
Effective stochastic volatility: applications to ZABR-type models Quantitative Finance	2021-12-01	Paper
Moment approximations of displaced forward-LIBOR rates with application to swaptions International Journal of Theoretical and Applied Finance	2021-03-16	Paper
PDE methods for SABR Novel Methods in Computational Finance	2019-02-28	Paper
ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL International Journal of Theoretical and Applied Finance	2018-11-23	Paper
Recursive marginal quantization of higher-order schemes Quantitative Finance	2018-11-14	Paper
Efficient long-dated swaption volatility approximation in the forward-LIBOR model International Journal of Theoretical and Applied Finance	2018-06-29	Paper
Relating recent infection prevalence to incidence with a sub-population of assay non-progressors Journal of Mathematical Biology	2010-11-11	Paper

Research outcomes over time

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