3
H index
1
i10 index
24
Citations
University of Johannesburg (50% share) | 3 H index 1 i10 index 24 Citations RESEARCH PRODUCTION: 1 Articles 5 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
Papers / arXiv.org | 3 |
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 2 |
Year | Title of citing document |
---|---|
2021 | A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:2105.09276. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2021 | Pricing 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. Full description at Econpapers || Download paper |
2021 | A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Working Papers. RePEc:ver:wpaper:07/2021. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2017 | Recursive Marginal Quantization of Higher-Order Schemes In: Papers. [Full Text][Citation analysis] | paper | 13 |
2017 | Fast Quantization of Stochastic Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Fast Quantization of Stochastic Volatility Models.(2017) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2018 | Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Quadratic Hedging of Basis Risk In: JRFM. [Full Text][Citation analysis] | article | 6 |
2008 | Quadratic Hedging of Basis Risk.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team