EconPapers    
Economics at your fingertips  
 

Details about Christian-Oliver Ewald

E-mail:
Homepage:http://www.gla.ac.uk/schools/business/staff/christianewald/
Postal address:Prof. Christian-Oliver Ewald Chair in Financial Economics Glasgow University Business School Department of Economics University of Glasgow
Workplace:Department of Economics, Adam Smith Business School, University of Glasgow, (more information at EDIRC)

Access statistics for papers by Christian-Oliver Ewald.

Last updated 2017-11-11. Update your information in the RePEc Author Service.

Short-id: pew4


Jump to Journal Articles

Working Papers

2007

  1. 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
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Malliavin differentiability of the Heston volatility and applications to option pricing
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
  4. Optimal management and inflation protection for defined contribution pension plans
    MPRA Paper, University Library of Munich, Germany Downloads View citations (17)
  5. Stochastic Volatility: Risk Minimization and Model Risk
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2005

  1. A note on the Malliavin differentiability of the Heston volatility
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (2)

Journal Articles

2017

  1. An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield
    Marine Resource Economics, 2017, 32, (4), 431 - 449 Downloads View citations (2)
  2. On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures
    American Journal of Agricultural Economics, 2017, 99, (1), 207-224 Downloads View citations (2)
  3. On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2017, 20, (01), 1-32 Downloads
  4. On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
    Insurance: Mathematics and Economics, 2017, 73, (C), 105-115 Downloads
  5. Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method
    International Review of Financial Analysis, 2017, 52, (C), 144-151 Downloads View citations (1)

2016

  1. Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
    Journal of Economic Dynamics and Control, 2016, 71, (C), 45-59 Downloads

2015

  1. MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY
    Mathematical Finance, 2015, 25, (4), 869-889 Downloads View citations (1)
  2. On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options
    Journal of Economic Dynamics and Control, 2015, 59, (C), 22-36 Downloads View citations (2)

2014

  1. Asymptotic Solutions for Australian Options with Low Volatility
    Applied Mathematical Finance, 2014, 21, (6), 595-613 Downloads

2013

  1. Asian and Australian options: A common perspective
    Journal of Economic Dynamics and Control, 2013, 37, (5), 1001-1018 Downloads View citations (7)
  2. Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
    Energy Economics, 2013, 36, (C), 97-107 Downloads View citations (2)
  3. On the investment–uncertainty relationship in a real option model with stochastic volatility
    Mathematical Social Sciences, 2013, 66, (1), 22-32 Downloads View citations (5)
  4. On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
    Quantitative Finance, 2013, 13, (6), 939-954 Downloads View citations (1)

2012

  1. A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
    Computational Economics, 2012, 39, (4), 429-446 Downloads View citations (1)
  2. Privatization of businesses and flexible investment: a real option approach
    Decisions in Economics and Finance, 2012, 35, (1), 75-89 Downloads View citations (1)

2011

  1. Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide
    Mathematical Social Sciences, 2011, 61, (3), 146-151 Downloads View citations (4)
  2. Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Mathematical Methods of Operations Research, 2011, 74, (1), 93-120 Downloads

2010

  1. A stochastic differential Fishery game for a two species fish population with ecological interaction
    Journal of Economic Dynamics and Control, 2010, 34, (5), 844-857 Downloads View citations (9)
  2. Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
    Decisions in Economics and Finance, 2010, 33, (2), 97-116 Downloads View citations (4)
  3. Irreversible investment with Cox-Ingersoll-Ross type mean reversion
    Mathematical Social Sciences, 2010, 59, (3), 314-318 Downloads View citations (7)
  4. On the non-equilibrium density of geometric mean reversion
    Statistics & Probability Letters, 2010, 80, (7-8), 608-611 Downloads View citations (2)
  5. Optimal investment for a pension fund under inflation risk
    Mathematical Methods of Operations Research, 2010, 71, (2), 353-369 Downloads View citations (14)

2009

  1. IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 153-178 Downloads
  2. Risk minimization in stochastic volatility models: model risk and empirical performance
    Quantitative Finance, 2009, 9, (6), 693-704 Downloads View citations (25)

2008

  1. A note on the Malliavin derivative operator under change of variable
    Statistics & Probability Letters, 2008, 78, (2), 173-178 Downloads View citations (1)
  2. On the qualitative effect of volatility and duration on prices of Asian options
    Finance Research Letters, 2008, 5, (3), 162-171 Downloads View citations (10)
  3. Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
    Mathematical Methods of Operations Research, 2008, 68, (1), 97-123 Downloads View citations (9)

2006

  1. A new technique for calibrating stochastic volatility models: the Malliavin gradient method
    Quantitative Finance, 2006, 6, (2), 147-158 Downloads View citations (5)

2005

  1. OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (03), 301-319 Downloads View citations (3)
 
Page updated 2020-11-24