Thomas Andrew McWalter : Citation Profile

Are you Thomas Andrew McWalter?

University of Johannesburg (50% share)

3

H index

1

i10 index

22

Citations

RESEARCH PRODUCTION:

1

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 2
   Journals where Thomas Andrew McWalter has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 3 (12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc133
   Updated: 2021-10-16    RAS profile: 2018-02-08    
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Relations with other researchers

Works with:

Platen, Eckhard (4)

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

Is cited by:

Platen, Eckhard (2)

Pallavicini, Andrea (1)

Wang, Xingchun (1)

Cites to:

Platen, Eckhard (17)

van Dijk, Dick (2)

Lord, Roger (2)

Rogers, Leonard (1)

Baldeaux, Jan (1)

Stein, Jeremy (1)

gao, bin (1)

Hulley, Hardy (1)

Main data

Where Thomas Andrew McWalter has published?

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Thomas Andrew McWalter (2021 and 2020)

YearTitle of citing document
2020Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2001.03101.

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2020Robust Product Markovian Quantization. (2020). Platen, Eckhard ; Rudd, Ralph ; Kienitz, Joerg ; McWalter, Thomas A. In: Papers. RePEc:arx:papers:2006.15823.

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2021A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:2105.09276.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2020Hedging of Variable Annuities under Basis Risk. (2020). Jan, Bauer. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:14:y:2020:i:2:p:34:n:4.

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2021Pricing volatility-equity options under the modified constant elasticity of variance model. (2021). Wang, Xingchun. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310414.

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2020A quantization approach to the counterparty credit exposure estimation. (2020). di Persio, Luca ; Bonollo, Michele ; Oliva, Immacolata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:335-356.

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2020New Weak Error bounds and expansions for Optimal Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Post-Print. RePEc:hal:journl:hal-02361644.

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2020Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Working Papers. RePEc:hal:wpaper:hal-02434232.

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2020Conic quantization: stochastic volatility and market implied liquidity. (2020). Schoutens, Wim ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:4:p:531-542.

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Works by Thomas Andrew McWalter:

YearTitleTypeCited
2017Recursive Marginal Quantization of Higher-Order Schemes In: Papers.
[Full Text][Citation analysis]		paper12
2017Fast Quantization of Stochastic Volatility Models In: Papers.
[Full Text][Citation analysis]		paper3
2017Fast Quantization of Stochastic Volatility Models.(2017) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers.
[Full Text][Citation analysis]		paper1
2015Quadratic Hedging of Basis Risk In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article6
2008Quadratic Hedging of Basis Risk.(2008) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper

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