Thomas McWalter

University of Cape Town (UCT)

Private Bag X3

Rondebosch, Western Cape 7701

South Africa

University of Johannesburg

PO Box 524

Auckland Park

Johannesburg, Gauteng 2006

South Africa

SCHOLARLY PAPERS

8

DOWNLOADS

377

CITATIONS

5

Scholarly Papers (8)

1.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 91 (278,460)

Abstract:

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quantization, option pricing, stochastic volatility

2.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 27 Sep 2018
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 87 (286,469)

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

3.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 84 (292,754)
Citation 2

Abstract:

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quantization, option pricing

4.

Efficient Long-Dated Swaption Volatility Approximation in the Forward-LIBOR Model

Number of pages: 25 Posted: 17 May 2017 Last Revised: 23 Feb 2019
Jacques van Appel and Thomas McWalter
University of Johannesburg and University of Cape Town (UCT)
Downloads 61 (349,542)

Abstract:

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LIBOR Model, Swaption, Volatility Approximation, Efficient Calibration

5.

Black Economic Empowerment Contracts and Risk Incentives

Number of pages: 52 Posted: 11 Dec 2018
Thomas McWalter and Peter H. Ritchken
University of Cape Town (UCT) and Case Western Reserve University - Department of Banking & Finance
Downloads 23 (498,233)

Abstract:

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Government Policy and Regulation, Ownership Structure, Capital Structure, Risk-Taking

6.

Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts

Number of pages: 23 Posted: 01 Feb 2018
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 17 (532,825)

Abstract:

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quantization, option pricing, benchmark approach, real-world measure

7.

On Buybacks, Dilutions, Dividends, and the Pricing of Stock-Based Claims

Number of pages: 52 Posted: 19 Jul 2019
Alex Backwell, Thomas McWalter and Peter H. Ritchken
University of Cape Town, University of Cape Town (UCT) and Case Western Reserve University - Department of Banking & Finance
Downloads 7 (599,901)

Abstract:

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Payout Policy, Option Pricing, Buybacks, Dilution, Employee Incentive Plans, Structural Models of the Firm

8.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
Thomas McWalter, Ralph Rudd, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 7 (593,432)
Citation 3

Abstract:

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