Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Thomas A, McWalter"'
Publikováno v:
Risks, Vol 11, Iss 2, p 29 (2023)
The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a d
Externí odkaz:
https://doaj.org/article/a3595cac1ecf4b0c93e2434efa30e72d
Publikováno v:
Mathematical Finance. 32:273-308
We develop a structural model of the firm that allows after-interest cash to be directed to dividends, buybacks or some combination thereof. We study the effects of dilutions and buybacks on the value of the firm's claimants and on options written on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11c0df0ed658c28d0b380d491968c62f
https://doi.org/10.1111/mafi.12332
https://doi.org/10.1111/mafi.12332
Publikováno v:
Journal of Credit Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be7241a172dadd72c8369eec3ce09f61
https://doi.org/10.21314/jcr.2022.012
https://doi.org/10.21314/jcr.2022.012
Autor:
Thomas A. McWalter, Peter H. Ritchken
Publikováno v:
Journal of Financial Intermediation. 52:100991
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e4645d12bbdd98df7b1a8df602128283
https://doi.org/10.1016/j.jfi.2022.100991
https://doi.org/10.1016/j.jfi.2022.100991
Autor:
Thomas A. McWalter, Peter H. Ritchken
Publikováno v:
Journal of Economic Dynamics and Control. 139:104406
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62873d34d8e420d5a5729f581a44248e
https://doi.org/10.1016/j.jedc.2022.104406
https://doi.org/10.1016/j.jedc.2022.104406
Publikováno v:
SSRN Electronic Journal.
There are numerous models for specifying the uncertainty of future instantaneous volatility or variance, including the Heston, SABR and ZABR models. Often it is observed that a specific stochastic volatility model is chosen not for particular dynamic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d55f76a16d59fdbbd18c7012b765e98d
https://doi.org/10.2139/ssrn.3518141
https://doi.org/10.2139/ssrn.3518141
Publikováno v:
Quantitative Finance. 18:693-706
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivativ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c9e8244e72472357223b0fe142fdd03
https://doi.org/10.1080/14697688.2017.1402125
https://doi.org/10.1080/14697688.2017.1402125
Autor:
Reshma Kassanjee, Alex Welte, Thomas A McWalter, Sheila M Keating, Marion Vermeulen, Susan L Stramer, Michael P Busch
Publikováno v:
PLoS ONE, Vol 6, Iss 6, p e20027 (2011)
INTRODUCTION: Biomarker-based cross-sectional incidence estimation requires a Recent Infection Testing Algorithm (RITA) with an adequately large mean recency duration, to achieve reasonable survey counts, and a low false-recent rate, to minimise expo
Externí odkaz:
https://doaj.org/article/88a8eb1341154fb5932911b802c17c09
Autor:
Thomas A McWalter, Alex Welte
Publikováno v:
PLoS ONE, Vol 4, Iss 10, p e7368 (2009)
BACKGROUND: Cross-sectional surveys utilizing biomarkers that test for recent infection provide a convenient and cost effective way to estimate HIV incidence. In particular, the BED assay has been developed for this purpose. Controversy surrounding t
Externí odkaz:
https://doaj.org/article/957d88540f3a4d8f8ab7e5acb69bd4d3
Autor:
Till Bärnighausen, Claudia Wallrauch, Alex Welte, Thomas A McWalter, Nhlanhla Mbizana, Johannes Viljoen, Natalie Graham, Frank Tanser, Adrian Puren, Marie-Louise Newell
Publikováno v:
PLoS ONE, Vol 3, Iss 11, p e3640 (2008)
The BED IgG-Capture Enzyme Immunoassay (cBED assay), a test of recent HIV infection, has been used to estimate HIV incidence in cross-sectional HIV surveys. However, there has been concern that the assay overestimates HIV incidence to an unknown exte
Externí odkaz:
https://doaj.org/article/14402fa3437d4e7cb05ea784de58b2fb