Thomas A. McWalter
The African Institute of Financial Markets and Risk Management
Professor Thomas McWalter is an applied mathematician with appointments at the University of Cape (UCT) Town and the University of Johannesburg (UJ). He lectures computational finance for the African Institute of Financial Markets and Risk Management on the MPhil in Mathematical Finance degree at UCT. His research interests include numerical methods in finance, modelling of derivative instruments and general applications of stochastic processes.
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The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.
In this paper the authors formulate the one-dimensional RMQ and d-dimensional PMQ algorithms as standard vector quantization problems by deriving the density, distribution and lower partial expectation functions of the random variables to be quantized at…