Details about Christian-Oliver Ewald

Access statistics for papers by Christian-Oliver Ewald.

Last updated 2024-06-08. Update your information in the RePEc Author Service.

Short-id: pew4

Working Papers

2024

1. On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux
   Working Papers, Business School - Economics, University of Glasgow
   See also Journal Article On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux, Journal of Economic Dynamics and Control, Elsevier (2024) (2024)

2023

2. On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
   Papers, arXiv.org

2020

3. Hedging longevity risk in defined contribution pension schemes
   Papers, arXiv.org
   See also Journal Article Hedging longevity risk in defined contribution pension schemes, Computational Management Science, Springer (2023) (2023)
4. Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
   Papers, arXiv.org View citations (1)
   Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (1)

2007

5. 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
6. INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL
   MPRA Paper, University Library of Munich, Germany View citations (1)
7. Malliavin differentiability of the Heston volatility and applications to option pricing
   MPRA Paper, University Library of Munich, Germany View citations (17)
8. Optimal management and inflation protection for defined contribution pension plans
   MPRA Paper, University Library of Munich, Germany View citations (23)
9. Stochastic Volatility: Risk Minimization and Model Risk
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2005

10. 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

2024

1. On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux
   Journal of Economic Dynamics and Control, 2024, 162, (C)
   See also Working Paper On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux, Working Papers (2024) (2024)

2023

2. Hedging longevity risk in defined contribution pension schemes
   Computational Management Science, 2023, 20, (1), 1-34
   See also Working Paper Hedging longevity risk in defined contribution pension schemes, Papers (2020) (2020)
3. Pricing Asian options with stochastic convenience yield and jumps
   Quantitative Finance, 2023, 23, (4), 677-692
4. Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
   Finance Research Letters, 2023, 58, (PA) View citations (1)
5. Trading time seasonality in electricity futures
   Journal of Commodity Markets, 2023, 31, (C)

2022

6. Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
   Annals of Operations Research, 2022, 313, (1), 29-46 View citations (1)
7. Real options, risk aversion and markets: A corporate finance perspective
   Journal of Corporate Finance, 2022, 72, (C) View citations (1)
8. Riding the Nordic German Power-Spread: The Einar Aas Experiment
   The Energy Journal, 2022, 43, (5), 51-70
9. Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?
   Energy Economics, 2022, 115, (C) View citations (2)

2021

10. Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?
    European Journal of Operational Research, 2021, 294, (2), 801-815 View citations (8)
11. Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data
    Journal of Empirical Finance, 2021, 64, (C), 37-52 View citations (1)

2019

12. On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
    Annals of Operations Research, 2019, 282, (1), 119-130 View citations (10)

2018

13. On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
    Mathematical Finance, 2018, 28, (2), 536-549 View citations (3)

2017

14. An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield
    Marine Resource Economics, 2017, 32, (4), 431 - 449 View citations (4)
15. 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 View citations (4)
16. 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
17. On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
    Insurance: Mathematics and Economics, 2017, 73, (C), 105-115
18. Optimal contracts for central bankers: Calls on inflation
    Applied Mathematics and Computation, 2017, 292, (C), 57-62
19. 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 View citations (2)

2016

20. Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
    Journal of Economic Dynamics and Control, 2016, 71, (C), 45-59 View citations (3)
21. Special Issue of on ‘Commodity Markets’
    Quantitative Finance, 2016, 16, (12), 1807-1808
22. The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model
    Quantitative Finance, 2016, 16, (12), 1823-1842 View citations (1)

2015

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

2014

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

2013

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

2012

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

2011

32. A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA
    Journal of Probability and Statistics, 2011, 2011, 1-23
33. Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide
    Mathematical Social Sciences, 2011, 61, (3), 146-151 View citations (4)
34. Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Mathematical Methods of Operations Research, 2011, 74, (1), 93-120 View citations (1)

2010

35. 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 View citations (13)
36. Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
    Decisions in Economics and Finance, 2010, 33, (2), 97-116 View citations (7)
37. Irreversible investment with Cox-Ingersoll-Ross type mean reversion
    Mathematical Social Sciences, 2010, 59, (3), 314-318 View citations (8)
38. On the non-equilibrium density of geometric mean reversion
    Statistics & Probability Letters, 2010, 80, (7-8), 608-611 View citations (2)
39. Optimal investment for a pension fund under inflation risk
    Mathematical Methods of Operations Research, 2010, 71, (2), 353-369 View citations (25)

2009

40. IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 153-178
41. Risk minimization in stochastic volatility models: model risk and empirical performance
    Quantitative Finance, 2009, 9, (6), 693-704 View citations (31)

2008

42. A note on the Malliavin derivative operator under change of variable
    Statistics & Probability Letters, 2008, 78, (2), 173-178 View citations (1)
43. On the qualitative effect of volatility and duration on prices of Asian options
    Finance Research Letters, 2008, 5, (3), 162-171 View citations (12)
44. 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 View citations (12)

2006

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

2005

46. Local volatility in the Heston model: a Malliavin calculus approach
    International Journal of Stochastic Analysis, 2005, 2005, 1-16 View citations (2)
47. 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 View citations (3)