Christian-Oliver Ewald

Names

Contact

Affiliations

• University of Glasgow → Adam Smith Business School → Department of Economics
  • website
  • location: Glasgow, United Kingdom

Research profile

author of:

• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
  by Christian-Oliver Ewald & Aihua Zhang
• A note on the Malliavin differentiability of the Heston volatility
  by Elisa Alòs & Christian-Olivier Ewald
• Malliavin differentiability of the Heston volatility and applications to option pricing
  by Alos, Elisa & Ewald, Christian-Oliver
• Optimal management and inflation protection for defined contribution pension plans
  by Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver
• INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL.
  by Ewald, Christian-Oliver & Xiao, Yajun
• 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
  by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang
• Stochastic Volatility: Risk Minimization and Model Risk
  by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe
• A note on the Malliavin derivative operator under change of variable
  by Ewald, Christian-Oliver
• On the qualitative effect of volatility and duration on prices of Asian options
  by Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun
• Risk minimization in stochastic volatility models: model risk and empirical performance
  by Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald
• A stochastic differential Fishery game for a two species fish population with ecological interaction
  by Wang, Wen-Kai & Ewald, Christian-Oliver
• On the non-equilibrium density of geometric mean reversion
  by Yang, Zhaojun & Ewald, Christian-Oliver
• Irreversible investment with Cox-Ingersoll-Ross type mean reversion
  by Ewald, Christian-Oliver & Wang, Wen-Kai
• Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
  by Wen-Kai Wang & Christian-Oliver Ewald
• Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide
  by Ewald, Christian-Oliver & Wang, Wen-Kai
• A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
  by Walailuck Chavanasporn & Christian-Oliver Ewald
• Privatization of businesses and flexible investment: a real option approach
  by Walailuck Chavanasporn & Christian-Oliver Ewald
• Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
  by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen
• On the investment–uncertainty relationship in a real option model with stochastic volatility
  by Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai
• Asian and Australian options: A common perspective
  by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
  by Sai Hung Marten Ting & Christian-Oliver Ewald
• Optimal investment for a pension fund under inflation risk
  by Aihua Zhang & Christian-Oliver Ewald
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
  by Christian-Oliver Ewald & Zhaojun Yang
• Asymptotic Solutions for Australian Options with Low Volatility
  by Sai Hung Marten Ting & Christian-Oliver Ewald
• Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
  by Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens
• MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY
  by Christian-Oliver Ewald & Johannes Geissler
• On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options
  by Ewald, Christian-Oliver & Yor, Marc
• Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
  by Ewald, Christian-Oliver & Zhang, Hai
• An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield
  by Christian-Oliver Ewald & Ruolan Ouyang
• On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities
  by Jilong Chen & Christian Ewald
• IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
  by ZHAOJUN YANG & CHRISTIAN-OLIVER EWALD & YAJUN XIAO
• On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures
  by Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu
• Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method
  by Chen, Jilong & Ewald, Christian-Oliver
• On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
  by Ewald, Christian-Oliver & Zhang, Aihua
• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
  by CHRISTIAN-OLIVER EWALD