Thomas Andrew McWalter : Citation Profile

University of Johannesburg (50% share)

3

H index

1

i10 index

37

Citations

RESEARCH PRODUCTION:

14

Articles

6

Papers

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 2
   Journals where Thomas Andrew McWalter has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 5 (11.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc133
   Updated: 2025-12-20    RAS profile: 2025-08-13    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Andrew McWalter.

Is cited by:

Luu, Duc Thi (2)

Gnoatto, Alessandro (2)

Busse, Matthias (1)

Oliva, Immacolata (1)

Wang, Xingchun (1)

Pallavicini, Andrea (1)

Grzelak, Lech (1)

Cites to:

Platen, Eckhard (22)

Leland, Hayne (4)

van Dijk, Dick (3)

Cao, Charles (3)

Lord, Roger (3)

Chen, Zhiwu (3)

merton, robert (3)

Stulz, René (2)

Spulber, Daniel (2)

Jamshidian, Farshid (2)

Geske, Robert (2)

Main data

Where Thomas Andrew McWalter has published?

Journals with more than one article published# docs
Quantitative Finance4
International Journal of Theoretical and Applied Finance (IJTAF)3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Thomas Andrew McWalter (2025 and 2024)

YearTitle of citing document
2024An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans. (2024). Luu, Duc Thi ; Le, Nhat-Tan ; Nguyen, Minh-Quan ; Nguyen-An, Khuong. In: Papers. RePEc:arx:papers:2407.14728.

Full description at Econpapers || Download paper

2024Pricing and hedging of decentralised lending contracts. (2024). Zhang, Yufei ; Treetanthiploet, Tanut ; Sabat, Marc ; Szpruch, Lukasz. In: Papers. RePEc:arx:papers:2409.04233.

Full description at Econpapers || Download paper

2025Improved algorithm for the optimal quantization of single- and multivariate random functions. (2025). Bocchini, Paolo ; Huang, Wei-Min ; Conus, Daniel ; Ma, Liyang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:486:y:2025:i:c:s0096300324004892.

Full description at Econpapers || Download paper

2024How carbon risk affects corporate debt defaults: Evidence from Paris agreement. (2024). Liang, Yuchao ; Huang, Xiang ; Zhong, Wenrui ; Wang, Jiaxin ; Qiang, Haofan. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007739.

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2024Stock Repurchase and Stock Price Crash Risk. (2024). Zhu, Ying ; Chen, Xiaodan ; Jia, Haibo. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012515.

Full description at Econpapers || Download paper

2025The impact of black economic empowerment on the performance of listed firms in South Africa. (2025). Busse, Matthias ; Vogel, Tim ; Kupzig, Nina. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:53:y:2025:i:2:p:373-388.

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2024Quantization of stochastic volatility models: Numerical tests and an open source implementation. (2024). Picarelli, Athena ; Gnoatto, Alessandro ; Fina, Alessandro. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:29-51.

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2024Efficient Approximations for Utility-Based Pricing. (2024). Ferhoune, Massinissa ; Carassus, Laurence. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10076-z.

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Works by Thomas Andrew McWalter:

YearTitleTypeCited
2017Recursive Marginal Quantization of Higher-Order Schemes In: Papers.
[Full Text][Citation analysis]		paper16
2018Recursive marginal quantization of higher-order schemes.(2018) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2017Fast Quantization of Stochastic Volatility Models In: Papers.
[Full Text][Citation analysis]		paper4
2017Fast Quantization of Stochastic Volatility Models.(2017) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers.
[Full Text][Citation analysis]		paper1
2020Robust Product Markovian Quantization In: Papers.
[Full Text][Citation analysis]		paper0
Robust product Markovian quantization.() In: Journal of Computational Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022On buybacks, dilutions, dividends, and the pricing of stock‐based claims In: Mathematical Finance.
[Full Text][Citation analysis]		article1
2022Black economic empowerment regulation and risk incentives In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2022On stock-based loans In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article3
2015Quadratic Hedging of Basis Risk In: JRFM.
[Full Text][Citation analysis]		article8
2008Quadratic Hedging of Basis Risk.(2008) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2023Analysing Quantiles in Models of Forward Term Rates In: Risks.
[Full Text][Citation analysis]		article0
Dynamic initial margin estimation based on quantiles of Johnson distributions In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
2021Effective stochastic volatility: applications to ZABR-type models In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2022Effective Markovian projection: application to CMS spread options and mid-curve swaptions In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2023Effective stochastic local volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2018EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
2018ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1

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