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
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Working Papers
2024
- 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 View citations (2)
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) View citations (2) (2024)
2023
- On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
Papers, arXiv.org 
See also Journal Article On the impact of feeding cost risk in aquaculture valuation and decision making, Quantitative Finance, Taylor & Francis Journals (2024) (2024)
2020
- 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)
- Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Working Papers, Business School - Economics, University of Glasgow View citations (1)
Also in Papers, arXiv.org (2020) View citations (1)
2007
- 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
- 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)
- Malliavin differentiability of the Heston volatility and applications to option pricing
MPRA Paper, University Library of Munich, Germany View citations (16)
- Optimal management and inflation protection for defined contribution pension plans
MPRA Paper, University Library of Munich, Germany View citations (22)
- Stochastic Volatility: Risk Minimization and Model Risk
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2005
- 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
- On the Effects of Physical Climate Risks on the Chinese Energy Sector
JRFM, 2024, 17, (10), 1-15
- 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) View citations (2)
See also Working Paper On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux, Working Papers (2024) View citations (2) (2024)
- On the impact of feeding cost risk in aquaculture valuation and decision making
Quantitative Finance, 2024, 24, (9), 1341-1352 
See also Working Paper On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making, Papers (2023) (2023)
- The role of news sentiment in salmon price prediction using deep learning
Journal of Commodity Markets, 2024, 36, (C)
2023
- 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)
- Pricing Asian options with stochastic convenience yield and jumps
Quantitative Finance, 2023, 23, (4), 677-692
- Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Finance Research Letters, 2023, 58, (PA) View citations (1)
- Trading time seasonality in electricity futures
Journal of Commodity Markets, 2023, 31, (C) View citations (2)
2022
- 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)
- Real options, risk aversion and markets: A corporate finance perspective
Journal of Corporate Finance, 2022, 72, (C) View citations (1)
- Riding the Nordic German Power-Spread: The Einar Aas Experiment
The Energy Journal, 2022, 43, (5), 51-70
- 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 (5)
2021
- 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 (12)
- 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
- 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 (11)
2018
- On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
Mathematical Finance, 2018, 28, (2), 536-549 View citations (3)
2017
- 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)
- 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)
- 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
- On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
Insurance: Mathematics and Economics, 2017, 73, (C), 105-115
- Optimal contracts for central bankers: Calls on inflation
Applied Mathematics and Computation, 2017, 292, (C), 57-62
- 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
- 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)
- Special Issue of on ‘Commodity Markets’
Quantitative Finance, 2016, 16, (12), 1807-1808
- 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
- MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY
Mathematical Finance, 2015, 25, (4), 869-889 View citations (1)
- 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
- Asymptotic Solutions for Australian Options with Low Volatility
Applied Mathematical Finance, 2014, 21, (6), 595-613 View citations (1)
2013
- Asian and Australian options: A common perspective
Journal of Economic Dynamics and Control, 2013, 37, (5), 1001-1018 View citations (7)
- 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)
- On the investment–uncertainty relationship in a real option model with stochastic volatility
Mathematical Social Sciences, 2013, 66, (1), 22-32 View citations (7)
- 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
- A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
Computational Economics, 2012, 39, (4), 429-446 View citations (1)
- Privatization of businesses and flexible investment: a real option approach
Decisions in Economics and Finance, 2012, 35, (1), 75-89 View citations (1)
2011
- 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
- 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)
- Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Mathematical Methods of Operations Research, 2011, 74, (1), 93-120 View citations (2)
2010
- 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)
- 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)
- Irreversible investment with Cox-Ingersoll-Ross type mean reversion
Mathematical Social Sciences, 2010, 59, (3), 314-318 View citations (8)
- On the non-equilibrium density of geometric mean reversion
Statistics & Probability Letters, 2010, 80, (7-8), 608-611 View citations (2)
- Optimal investment for a pension fund under inflation risk
Mathematical Methods of Operations Research, 2010, 71, (2), 353-369 View citations (25)
2009
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 153-178
- Risk minimization in stochastic volatility models: model risk and empirical performance
Quantitative Finance, 2009, 9, (6), 693-704 View citations (31)
2008
- A note on the Malliavin derivative operator under change of variable
Statistics & Probability Letters, 2008, 78, (2), 173-178 View citations (1)
- On the qualitative effect of volatility and duration on prices of Asian options
Finance Research Letters, 2008, 5, (3), 162-171 View citations (12)
- 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
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method
Quantitative Finance, 2006, 6, (2), 147-158 View citations (6)
2005
- Local volatility in the Heston model: a Malliavin calculus approach
International Journal of Stochastic Analysis, 2005, 2005, 1-16 View citations (2)
- 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)
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