Thomas Andrew McWalter : Citation Profile

Are you Thomas Andrew McWalter?

University of Johannesburg (50% share)

3

H index

1

i10 index

24

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: 4.    Total self citations: 3 (11.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc133
   Updated: 2023-01-28    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:

Gnoatto, Alessandro (2)

Platen, Eckhard (2)

Pallavicini, Andrea (1)

Wang, Xingchun (1)

Grzelak, Lech (1)

Cites to:

Platen, Eckhard (18)

van Dijk, Dick (2)

Lord, Roger (2)

Baldeaux, Jan (1)

Rogers, Leonard (1)

gao, bin (1)

Oosterlee, Cornelis (1)

Hulley, Hardy (1)

Stein, Jeremy (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 (2022 and 2021)

YearTitle of citing document
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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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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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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2021A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Working Papers. RePEc:ver:wpaper:07/2021.

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Works by Thomas Andrew McWalter:

YearTitleTypeCited
2017Recursive Marginal Quantization of Higher-Order Schemes In: Papers.
[Full Text][Citation analysis]		paper13
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 another 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
2015Quadratic Hedging of Basis Risk In: JRFM.
[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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