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

15

DOWNLOADS
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1,598

SSRN CITATIONS
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SSRN RANKINGS

Top 47,208

in Total Papers Citations

10

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

Effective Stochastic Local Volatility Models

Number of pages: 43 Posted: 28 Jan 2022 Last Revised: 28 Mar 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 289 (148,331)

Abstract:

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Stochastic local volatility, Stochastic volatility, SABR, ZABR, Heston, Approximation formula

2.

Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions

Number of pages: 33 Posted: 29 Mar 2021 Last Revised: 27 Jan 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 272 (157,682)

Abstract:

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Stochastic volatility, SABR, ZABR, Markovian Projection, Effective PDE, Approximation formula

3.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 24 Posted: 23 Mar 2018 Last Revised: 20 Jul 2022
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, AcadiaSoft, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 267 (160,613)
Citation 2

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

4.

Effective Stochastic Volatility: Applications to ZABR-type Models

Number of pages: 27 Posted: 05 Feb 2020 Last Revised: 24 Jan 2022
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
Downloads 194 (217,497)
Citation 2

Abstract:

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Stochastic volatility, SABR, ZABR, Free boundary ZABR, Mean-reverting ZABR, Effective PDE, Approximation formula

5.

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 111 (338,225)
Citation 1

Abstract:

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quantization, option pricing, stochastic volatility

6.

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 93 (379,646)
Citation 3

Abstract:

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quantization, option pricing

7.

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

Number of pages: 52 Posted: 02 Aug 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 87 (395,448)

Abstract:

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

8.

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 70 (447,277)
Citation 1

Abstract:

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LIBOR Model, Swaption, Volatility Approximation, Efficient Calibration

9.

Black Economic Empowerment Contracts and Risk Incentives

Number of pages: 47 Posted: 11 Dec 2018 Last Revised: 03 Dec 2019
Thomas McWalter and Peter H. Ritchken
University of Cape Town (UCT) and Case Western Reserve University - Department of Banking & Finance
Downloads 61 (479,575)
Citation 1

Abstract:

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

10.

Moment Approximations of Displaced Forward-LIBOR Rates with Application to Swaptions

Number of pages: 26 Posted: 01 Jun 2020
Jacques van Appel and Thomas McWalter
University of Johannesburg and University of Cape Town (UCT)
Downloads 45 (547,693)

Abstract:

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Displaced LIBOR Model, Moments, Swaption, Volatility Approximation

11.

Robust Product Markovian Quantization

Number of pages: 19 Posted: 21 Jul 2020
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 33 (611,570)

Abstract:

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vector quantization, option pricing, stochastic volatility, calibration

12.
Downloads 31 (623,639)

On Stock-Based Loans

Number of pages: 40 Posted: 13 Apr 2022
Thomas McWalter and Peter H. Ritchken
University of Cape Town (UCT) and Case Western Reserve University - Department of Banking & Finance
Downloads 23 (699,479)

Abstract:

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stock-based loans, margin loans, structural models, payout policy, buybacks, dilution

On Stock-Based Loans

Number of pages: 40 Posted: 18 Mar 2022
Thomas McWalter and Peter peter.ritchken@case.edu
University of Cape Town (UCT) and Case Western Reserve University
Downloads 8 (841,349)

Abstract:

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Stock-based loans, margin loans, structural models, payout policy, buybacks, dilution.

13.

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 31 (623,639)

Abstract:

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

14.

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 13 (761,782)
Citation 3

Abstract:

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15.

Robust Product Markovian Quantization

Journal of Computational Finance, Vol. 25, No. 4, 2021
Number of pages: 24 Posted: 21 Mar 2022
Ralph Rudd, Thomas McWalter, Joerg Kienitz and Eckhard Platen
University of Cape Town (UCT) - 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 1 (891,577)
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Abstract:

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vector quantization, recursive marginal quantization, option pricing, stochastic volatility, calibration