Christian-Oliver Ewald
Names
| first: |
Christian-Oliver |
| last: |
Ewald |
Identifer
Contact
Affiliations
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University of Glasgow
/ Adam Smith Business School
/ Department of Economics (weight: 50%)
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Høgskolen i Innlandet
/ Økonomi, ledelse og innovasjon (weight: 50%)
Research profile
author of:
- Hedging longevity risk in defined contribution pension schemes (RePEc:arx:papers:1904.10229)
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - Sharing of longevity basis risk in pension schemes with income-drawdown guarantees (RePEc:arx:papers:2002.05232)
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making (RePEc:arx:papers:2309.02970)
by Christian Oliver Ewald & Kevin Kamm - Markets For Inflation-Indexed Bonds As Mechanisms For Efficient Monetary Policy (RePEc:bla:mathfi:v:25:y:2015:i:4:p:869-889)
by Christian-Oliver Ewald & Johannes Geissler - On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales (RePEc:bla:mathfi:v:28:y:2018:i:2:p:536-549)
by Christian†Oliver Ewald & Marc Yor - Stochastic Volatility: Risk Minimization and Model Risk (RePEc:chf:rpseri:rp0710)
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe - Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges (RePEc:chf:rpseri:rp0711)
by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang - Optimal contracts for central bankers: Calls on inflation (RePEc:eee:apmaco:v:292:y:2017:i:c:p:57-62)
by Ewald, Christian-Oliver & Geißler, Johannes - Real options, risk aversion and markets: A corporate finance perspective (RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074)
by Ewald, Christian Oliver & Taub, Bart - On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux (RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000472)
by Ewald, Christian Oliver & Nolan, Charles - A stochastic differential Fishery game for a two species fish population with ecological interaction (RePEc:eee:dyncon:v:34:y:2010:i:5:p:844-857)
by Wang, Wen-Kai & Ewald, Christian-Oliver - Asian and Australian options: A common perspective (RePEc:eee:dyncon:v:37:y:2013:i:5:p:1001-1018)
by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai - On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options (RePEc:eee:dyncon:v:59:y:2015:i:c:p:22-36)
by Ewald, Christian-Oliver & Yor, Marc - Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk (RePEc:eee:dyncon:v:71:y:2016:i:c:p:45-59)
by Ewald, Christian-Oliver & Zhang, Hai - Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? (RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815)
by Ewald, Christian & Zou, Yihan - Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data (RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52)
by Ewald, Christian & Zou, Yihan - Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? (RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004534)
by Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang - Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance (RePEc:eee:eneeco:v:36:y:2013:i:c:p:97-107)
by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen - Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method (RePEc:eee:finana:v:52:y:2017:i:c:p:144-151)
by Chen, Jilong & Ewald, Christian-Oliver - On the qualitative effect of volatility and duration on prices of Asian options (RePEc:eee:finlet:v:5:y:2008:i:3:p:162-171)
by Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun - Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures (RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x)
by Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad - On the effects of changing mortality patterns on investment, labour and consumption under uncertainty (RePEc:eee:insuma:v:73:y:2017:i:c:p:105-115)
by Ewald, Christian-Oliver & Zhang, Aihua - Trading time seasonality in electricity futures (RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000484)
by Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik - Irreversible investment with Cox-Ingersoll-Ross type mean reversion (RePEc:eee:matsoc:v:59:y:2010:i:3:p:314-318)
by Ewald, Christian-Oliver & Wang, Wen-Kai - Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide (RePEc:eee:matsoc:v:61:y:2011:i:3:p:146-151)
by Ewald, Christian-Oliver & Wang, Wen-Kai - On the investment–uncertainty relationship in a real option model with stochastic volatility (RePEc:eee:matsoc:v:66:y:2013:i:1:p:22-32)
by Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai - A note on the Malliavin derivative operator under change of variable (RePEc:eee:stapro:v:78:y:2008:i:2:p:173-178)
by Ewald, Christian-Oliver - On the non-equilibrium density of geometric mean reversion (RePEc:eee:stapro:v:80:y:2010:i:7-8:p:608-611)
by Yang, Zhaojun & Ewald, Christian-Oliver - Sharing of longevity basis risk in pension schemes with income-drawdown guarantees (RePEc:gla:glaewp:2020_18)
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux (RePEc:gla:glaewp:2024_04)
by Christian Oliver Ewald & Charles Nolan - Local volatility in the Heston model: a Malliavin calculus approach (RePEc:hin:jnijsa:951429)
by Christian-Oliver Ewald - A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA (RePEc:hin:jnljps:238623)
by Zhaojun Yang & Christian-Oliver Ewald & Wen-Kai Wang - A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control (RePEc:kap:compec:v:39:y:2012:i:4:p:429-446)
by Walailuck Chavanasporn & Christian-Oliver Ewald - On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures (RePEc:oup:ajagec:v:99:y:2017:i:1:p:207-224.)
by Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu - Malliavin differentiability of the Heston volatility and applications to option pricing (RePEc:pra:mprapa:3237)
by Alos, Elisa & Ewald, Christian-Oliver - Optimal management and inflation protection for defined contribution pension plans (RePEc:pra:mprapa:3300)
by Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver - Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model (RePEc:pra:mprapa:3301)
by Ewald, Christian-Oliver & Xiao, Yajun - Riding the Nordic German Power-Spread: The Einar Aas Experiment (RePEc:sae:enejou:v:43:y:2022:i:5:p:51-70)
by Christian-Oliver Ewald & Erik Haugom & Gudbrand Lien & Pengcheng Song & Ståle Størdal - Unknown item RePEc:san:crieff:0803 (paper)
- Unknown item RePEc:san:crieff:0910 (paper)
- On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter (RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2770-x)
by Christian-Oliver Ewald & Aihua Zhang & Zhe Zong - Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil (RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7)
by Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao - Hedging longevity risk in defined contribution pension schemes (RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8)
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model (RePEc:spr:decfin:v:33:y:2010:i:2:p:97-116)
by Wen-Kai Wang & Christian-Oliver Ewald - Privatization of businesses and flexible investment: a real option approach (RePEc:spr:decfin:v:35:y:2012:i:1:p:75-89)
by Walailuck Chavanasporn & Christian-Oliver Ewald - Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk (RePEc:spr:mathme:v:68:y:2008:i:1:p:97-123)
by Christian-Oliver Ewald & Zhaojun Yang - Optimal investment for a pension fund under inflation risk (RePEc:spr:mathme:v:71:y:2010:i:2:p:353-369)
by Aihua Zhang & Christian-Oliver Ewald - Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus (RePEc:spr:mathme:v:74:y:2011:i:1:p:93-120)
by Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens - Asymptotic Solutions for Australian Options with Low Volatility (RePEc:taf:apmtfi:v:21:y:2014:i:6:p:595-613)
by Sai Hung Marten Ting & Christian-Oliver Ewald - On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model (RePEc:taf:quantf:v:13:y:2013:i:6:p:939-954)
by Sai Hung Marten Ting & Christian-Oliver Ewald - Special Issue of on ‘Commodity Markets’ (RePEc:taf:quantf:v:16:y:2016:i:12:p:1807-1808)
by Christian-Oliver Ewald & Athanasios A. Pantelous & Georgios Sermpinis - The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model (RePEc:taf:quantf:v:16:y:2016:i:12:p:1823-1842)
by Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu - Pricing Asian options with stochastic convenience yield and jumps (RePEc:taf:quantf:v:23:y:2023:i:4:p:677-692)
by Christian-Oliver Ewald & Yuexiang Wu & Aihua Zhang - A new technique for calibrating stochastic volatility models: the Malliavin gradient method (RePEc:taf:quantf:v:6:y:2006:i:2:p:147-158)
by Christian-Oliver Ewald & Aihua Zhang - Risk minimization in stochastic volatility models: model risk and empirical performance (RePEc:taf:quantf:v:9:y:2009:i:6:p:693-704)
by Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald - An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield (RePEc:ucp:mresec:doi:10.1086/693375)
by Christian-Oliver Ewald & Ruolan Ouyang - A note on the Malliavin differentiability of the Heston volatility (RePEc:upf:upfgen:880)
by Elisa Alòs & Christian-Olivier Ewald - Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market (RePEc:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003025)
by Christian-Oliver Ewald - Implied Volatility From Asian Options Via Monte Carlo Methods (RePEc:wsi:ijtafx:v:12:y:2009:i:02:n:s021902490900518x)
by Zhaojun Yang & Christian-Oliver Ewald & Yajun Xiao - On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities (RePEc:wsi:rpbfmp:v:20:y:2017:i:01:n:s0219091517500059)
by Jilong Chen & Christian Ewald