Christian-Oliver Ewald

University of Glasgow

Professor, Chair in Financial Economics

Adam Smith Building

Glasgow, Scotland G12 8RT

United Kingdom

Høgskole i Innlandet

Lillehammer , 2624

Norway

  • University of Glasgow

  • Høgskole i Innlandet

SCHOLARLY PAPERS

74

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55

CROSSREF CITATIONS

41

Scholarly Papers (74)

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1.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Christian-Oliver Ewald
University of Glasgow
Downloads 12,669 (643)

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Mathematical Finance, Financial Market Models, Stochastic Integration, Option Pricing

2.

Games, Fixed Points and Mathematical Economics

Number of pages: 134 Posted: 29 Mar 2007
Christian-Oliver Ewald
University of Glasgow
Downloads 8,443 (1,282)

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Game Theory, Mathematical Economics, Set valued analysis, Fixed point theorems

3.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Christian-Oliver Ewald
University of Glasgow
Downloads 6,360 (2,094)

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Discrete Time Finance, Mathematical Finance

4.

Geometric Mean Reversion: Formulas for the Equilibrium Density and Analytic Moment Matching

Number of pages: 25 Posted: 11 Jul 2007
Christian-Oliver Ewald and Zhaojun Yang
University of Glasgow and Southern University of Science and Technology - Department of Finance
Downloads 1,190 (31,039)
Citation 12

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Models of mean-reversion, equilibrium distributions

5.

Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 40 Posted: 25 Aug 2010 Last Revised: 05 Apr 2011
Ian Gregory, Christian-Oliver Ewald and Pieter Knox
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 1,002 (39,675)
Citation 4

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Pair trading, mean hitting time, Cox-Ingersoll-Ross, GARCH Diffusion, Ornstein Uhlenbeck, Ratio, Spread

6.

Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance

FINRISK Working Paper No. 361, Swiss Finance Institute Research Paper No. 07-10
Number of pages: 23 Posted: 23 Feb 2007 Last Revised: 04 Dec 2007
Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Christian-Oliver Ewald
University of Copenhagen - Department of Statistics and Operations Research, The University of Manchester - Department of Economics and University of Glasgow
Downloads 915 (45,035)
Citation 14

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Locally risk-minimizing hedge, delta hedge, stochastic volatility,

7.

Implied Volatility from Asian Options Via Monte Carlo Methods

Downloads 789 (55,110)

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008
Christian-Oliver Ewald, Zhaojun Yang and Yajun Xiao
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
Downloads 789 (54,315)

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implied volatility, Monte Carlo simulation, Asian options, exotic options

Implied Volatility from Asian Options Via Monte Carlo Methods

International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 153-178, 2009
Posted: 02 Dec 2009
Zhaojun Yang, Christian-Oliver Ewald and Yajun Xiao
Southern University of Science and Technology - Department of Finance, University of Glasgow and University of Freiburg - Department of Economics

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implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility

8.

Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?

Number of pages: 32 Posted: 25 Feb 2021
Christian-Oliver Ewald, Erik Haugom, Gudbrand Lien, Ståle Størdal and Yuexiang Wu
University of Glasgow, Inland Norway University of Applied Sciences, Inland School of Business and Social Sciences, Lillehammer University College and University of Glasgow
Downloads 702 (64,418)

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seasonality, futures, arbitrage, alpha

9.

Utility Based Pricing and Exercising of Real Options Under Geometric Mean Reversion and Risk Aversion Toward Idiosyncratic Risk

Number of pages: 40 Posted: 13 Jan 2007 Last Revised: 14 Oct 2008
Zhaojun Yang and Christian-Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow
Downloads 558 (86,007)
Citation 8

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Real Options, Models of Mean-Reversion, Optimal Control, Incomplete Market Models

10.

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 No. 07-11
Number of pages: 22 Posted: 20 Jan 2007
Christian-Oliver Ewald, Klaus Reiner Schenk-Hoppé and Zhaojun Yang
University of Glasgow, The University of Manchester - Department of Economics and Southern University of Science and Technology - Department of Finance
Downloads 518 (94,310)

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Stochastic volatility models, incomplete markets, Delta hedging, locally R-minimizing hedging strategies, Malliavin calculus

11.

Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing

Number of pages: 27 Posted: 16 May 2007
Elisa Alos and Christian-Oliver Ewald
University of Pompeu Fabra - Department of Economics and University of Glasgow
Downloads 490 (100,919)
Citation 16

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Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process, Hull and White formula, Option pricing

12.

Riding the Nordic German Power-Spread: The Einar Aas Experiment

Number of pages: 11 Posted: 14 Apr 2020
Christian-Oliver Ewald, Erik Haugom, Gudbrand Lien, Ståle Størdal and Pengcheng Song
University of Glasgow, Inland Norway University of Applied Sciences, Inland School of Business and Social Sciences, Lillehammer University College and Peking University
Downloads 465 (107,435)

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Power Markets, Futures, Arbitrage, CAPM

13.

An Analysis of the Fish Pool Market in the Context of Schwartz' (1997) Multifactor Model with Stochastic Convenience Yield

Number of pages: 37 Posted: 28 Aug 2012 Last Revised: 13 Mar 2015
Christian-Oliver Ewald, Roy Nawar, Ruolan Ouyang and Tak-Kuen Siu
University of Glasgow, University of Sydney, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 457 (109,687)
Citation 1

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Futures, Commodities, Aquaculture, Fisheries Economics, Renewable Resources, Risk Management

14.

Risk Minimizing Hedging of Crude-Oil Options: Theory and Empirical Performance

Number of pages: 35 Posted: 25 May 2011 Last Revised: 27 Jul 2011
Christian-Oliver Ewald, Roy Nawar and Tak-Kuen Siu
University of Glasgow, University of Sydney and Macquarie University, Macquarie Business School
Downloads 443 (113,716)

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Risk-minimizing hedging, crude-oil options, futures, energy derivatives, resource economics

15.

A Note on the Malliavin Differentiability of the Heston Volatility

Number of pages: 11 Posted: 15 Nov 2005
Elisa Alos and Christian-Oliver Ewald
University of Pompeu Fabra - Department of Economics and University of Glasgow
Downloads 419 (121,392)

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Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process

16.

Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus

Mathematical Methods of Operations Research, Volume 74, Number 1, pp. 93-120, 2011
Number of pages: 39 Posted: 30 Jun 2009 Last Revised: 16 Sep 2013
Zhaojun Yang, Christian-Oliver Ewald and Olaf Menkens
Southern University of Science and Technology - Department of Finance, University of Glasgow and Dublin City University - School of Mathematical Sciences
Downloads 367 (141,025)
Citation 1

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Asian options, option pricing, hedging, Malliavin calculus

17.

On the Qualitative Effect of Volatility and Duration on Prices of Asian Options

Number of pages: 17 Posted: 24 Jan 2008
Peter Carr, Christian-Oliver Ewald and Yajun Xiao
New York University Finance and Risk Engineering, University of Glasgow and University of Freiburg - Department of Economics
Downloads 349 (148,998)
Citation 4

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Asian options, volatility, vega, duration, qualitative risk-management

18.

Derivatives on Non-Storable Renewable Resources: Fish Futures and Options, Not so Fishy After All

Number of pages: 25 Posted: 06 Sep 2009 Last Revised: 15 Jul 2013
Christian-Oliver Ewald
University of Glasgow
Downloads 303 (173,131)

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Options, Commodities, Renewable Resources, Risk management

19.

Irreversible Investment with Cox-Ingersoll-Ross Type Mean Reversion

Number of pages: 30 Posted: 03 Oct 2007
Christian-Oliver Ewald and Wen-Kai Wang
University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 290 (181,323)
Citation 1

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Irreversible investment, real options, models of mean-reversion

20.

Hedge Fund Seeding Via Fees-for-Seed Swaps Under Idiosyncratic Risk

Journal of Economic Dynamics and Control, Volume 71, 2016, Pages 45-59, ISSN 0165-1889, Doi.org/10.1016/j.jedc.2016.07.007.
Number of pages: 22 Posted: 21 Aug 2014 Last Revised: 02 May 2019
Christian-Oliver Ewald and Hai Zhang
University of Glasgow and Strathclyde Business School
Downloads 238 (220,824)

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Hedge Fund Seeding; Fees-for-Seed Swap; Early Stage Funds; Alpha Strategy; Idiosyncratic Risk

21.

Analytic Formulas for Options in the Schwartz 97 Multifactor Framework with Added Regime Shifts

Number of pages: 26 Posted: 22 May 2015
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 237 (221,752)
Citation 1

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Commodities; Option on Commodities; Option Evaluation; Mean Reversion; Regime-Switching; Multi-Factor Models

22.

On the Non-Equilibrium Density of Geometric Mean Reversion

Number of pages: 6 Posted: 21 Jan 2008 Last Revised: 14 Apr 2008
Zhaojun Yang and Christian-Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow
Downloads 236 (222,689)
Citation 1

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Geometric mean reversion, non-equilibrium analysis, economic dynamics, econometrics

23.

Salmon futures and the Fish Pool market in the context of the CAPM and the Fama & French Three-Factor Model

Number of pages: 19 Posted: 23 Feb 2015 Last Revised: 14 May 2020
Christian-Oliver Ewald, Erik Haugom, Leslie Kanthan, Gudbrand Lien, Pariya Salehi and Ståle Størdal
University of Glasgow, Inland Norway University of Applied Sciences, affiliation not provided to SSRN, Inland School of Business and Social Sciences, University of Glasgow - Adam Smith Business School and Lillehammer University College
Downloads 234 (224,521)
Citation 4

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Futures Markets; Aquaculture; CAPM

24.

On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 17 Apr 2015
Christian-Oliver Ewald, Ruolan Ouyang and Tak-Kuen Siu
University of Glasgow, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 230 (228,364)
Citation 3

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Futures, Commodities, Aquaculture, Fisheries Economics, Renewable Resources, Risk Management

25.

On the Investment-Uncertainty Relationship in a Real Option Model with Stochastic Volatility

Number of pages: 35 Posted: 25 May 2011 Last Revised: 16 Sep 2012
Sai Hung Marten Ting, Christian-Oliver Ewald and Wen-Kai Wang
The University of Sydney, University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 217 (241,180)
Citation 2

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Real options, investment-uncertainty relationship, stochastic volatility

26.

Stochastic Reaction Strategies in the Barro-Gordon Framework: Support for a Low Inflation Equilibrium

Number of pages: 26 Posted: 16 Jan 2008 Last Revised: 01 Feb 2010
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance
Downloads 217 (241,180)

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Monetary Policy, Inflation, Game Theory, Stochastic Reaction Strategies

27.

Information: Price and Impact on General Welfare and Optimal Investment: An Anticipative Stochastic Differential Game Model

Number of pages: 38 Posted: 08 May 2007 Last Revised: 26 Apr 2011
Christian-Oliver Ewald and Yajun Xiao
University of Glasgow and University of Freiburg - Department of Economics
Downloads 214 (244,391)
Citation 1

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information, financial markets, stochastic differential games

28.

Analytic Solutions for Infinite Horizon Stochastic Optimal Control Problems via Finite Horizon Approximation: A Practical Guide

Number of pages: 13 Posted: 07 Apr 2009 Last Revised: 08 Nov 2009
Christian-Oliver Ewald and Wen-Kai Wang
University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 207 (251,883)
Citation 3

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Stochastic optimal control, Hamilton-Jacobi-Bellman equation

29.

Closed-Form Option Pricing Formulas for Mean-Reverting Commodity Prices with Regime-Switching

Number of pages: 13 Posted: 15 May 2015 Last Revised: 21 May 2015
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 204 (255,365)

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Commodities; Options on Commodities; Option Evaluation; Mean Reversion; Regime-Switching

30.

Pricing Commodity Futures Options in the Schwartz Multi Factor Model with Stochastic Volatility: An Asymptotic Method

Number of pages: 23 Posted: 14 Nov 2016
Jilong Chen and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 198 (262,301)

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Commodities; Derivatives; Stochastic Volatility; Stochastic Convenience Yield

31.

Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance Analysis

Number of pages: 21 Posted: 28 Sep 2008 Last Revised: 16 Apr 2009
Christian-Oliver Ewald and Wen-Kai Wang
University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 196 (264,704)

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Fisheries, Environmental and Resource Economics, Sustainability, Maximum Sustainable Yield, Stochastic dynamic fisheries models

32.

Numerical Simulation of a Diffusion Type Evolutionary Stock Market Model

Number of pages: 19 Posted: 26 Feb 2008
Walailuck Chavanasporn and Christian-Oliver Ewald
affiliation not provided to SSRN and University of Glasgow
Downloads 184 (279,966)

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Behavioral Finance, Evolutionary Finance, Wealth dynamics

33.

A Stochastic Differential Fishery Game for a Two Species Fish Population with Ecological Interaction

Number of pages: 48 Posted: 30 Apr 2008
Wen-Kai Wang and Christian-Oliver Ewald
National University of Kaohsiung - Department of Finance and University of Glasgow
Downloads 171 (298,539)
Citation 4

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differential Games, Fisheries, Environmental and Resource Economics, Stochastic Optimal Control

34.

Minimal Variance Hedging of Natural Gas Derivatives in Exponential Levy Models: Theory and Empirical Performance

Number of pages: 33 Posted: 13 Sep 2012
Christian-Oliver Ewald, Roy Nawar and Tak-Kuen Siu
University of Glasgow, University of Sydney and Macquarie University, Macquarie Business School
Downloads 169 (301,486)
Citation 1

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Quadratic hedging, jump-diffusions models, natural gas options, energy derivatives, resource economics

35.

Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance

Number of pages: 13 Posted: 26 Jun 2009 Last Revised: 12 Jan 2011
Christian-Oliver Ewald, Yajun Xiao, Yang Zou and Tak-Kuen Siu
University of Glasgow, University of Freiburg - Department of Economics, University of Kaiserslautern - Department of Mathematics and Macquarie University, Macquarie Business School
Downloads 167 (304,593)
Citation 1

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Malliavin calculus, Feller diffusions, Greeks, Option pricing

36.

Dynamic Voluntary Provision of Public Goods with Uncertainty: A Stochastic Differential Game Model

Number of pages: 18 Posted: 09 Mar 2008 Last Revised: 16 Apr 2009
Wen-Kai Wang and Christian-Oliver Ewald
National University of Kaohsiung - Department of Finance and University of Glasgow
Downloads 166 (306,126)
Citation 1

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Stochastic differential games, Public goods, Hamilton-Jacobi-Bellman equations

37.

A General Approach for Solving Differential Public Goods Games and a Comparison to the Static Case

Number of pages: 23 Posted: 19 Jan 2007
Christian-Oliver Ewald
University of Glasgow
Downloads 162 (312,570)

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Public good games, differential games, optimal control

38.

A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control

Number of pages: 26 Posted: 19 Jul 2010
Walailuck Chavanasporn and Christian-Oliver Ewald
affiliation not provided to SSRN and University of Glasgow
Downloads 159 (317,562)
Citation 2

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numerical stochastic optimal control, dynamic programming, computational economics, investment decisions

39.

A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA.

Number of pages: 31 Posted: 07 Aug 2007 Last Revised: 11 May 2010
Zhaojun Yang, Christian-Oliver Ewald and Wen-Kai Wang
Southern University of Science and Technology - Department of Finance, University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 154 (326,195)

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Partial information, value of information, stochastic optimal control, stochastic filtering, information economics

40.

On Increasing Risk, Inequality and Poverty Measures: Peacocks and Lyrebirds and Exotic Options

Number of pages: 37 Posted: 03 Jul 2014 Last Revised: 13 Feb 2015
Christian-Oliver Ewald and Marc Yor
University of Glasgow and Université Paris VI Pierre et Marie Curie
Downloads 143 (346,402)
Citation 3

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increasing risk, inequality, poverty measures, peacocks

41.

Some Notes on Golden Rules and Risk Aversion in a Merton Type Solow Model

Number of pages: 11 Posted: 08 Dec 2008 Last Revised: 01 Feb 2010
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance
Downloads 138 (356,171)

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Economic Growth, Golden Rule, Solow model, Risk Aversion

42.

Pricing Asian Options with Stochastic Convenience Yield and Jumps

Number of pages: 32 Posted: 30 Jan 2020 Last Revised: 30 Jul 2020
Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang
University of Glasgow, University of Glasgow and University of Leicester - Department of Mathematics
Downloads 129 (375,019)

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Asian Options, Stochastic Convenience Yield, Jump Diffusion, Derivatives

43.

Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

Downloads 123 (388,785)
Citation 2

Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

Number of pages: 30 Posted: 10 Apr 2020
Christian-Oliver Ewald and Yihan Zou
University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 70 (567,380)
Citation 1

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Finance, Derivatives, Jump-Diffusion Models, Kalman Filter, Quasi-Maximum Likelihood

Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

Number of pages: 30 Posted: 02 Apr 2020
Christian-Oliver Ewald and Yihan Zou
University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 53 (655,238)
Citation 1

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Finance, Derivatives, Jump-Diffusion Models, Kalman Filter, Quasi-Maximum Likelihood

44.

On the Performance of Asymptotic Locally Risk Minimizing Hedges in the Heston Stochastic Volatility Model

Number of pages: 37 Posted: 23 Sep 2010 Last Revised: 28 Sep 2011
Sai Hung Marten Ting and Christian-Oliver Ewald
The University of Sydney and University of Glasgow
Downloads 122 (391,157)

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Locally risk-minimizing hedging, stochastic volatility, asymptotic solutions, model risk, empirical hedging performance

45.

Continuous Time Stochastic Optimal Control: Lagrange-Chow Redux

Number of pages: 27 Posted: 28 Mar 2022
Christian-Oliver Ewald and Charles Nolan
University of Glasgow and University of Glasgow
Downloads 110 (421,822)

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dynamic optimization, stochastic optimal control, Lagrange formalism, growth model, regression based Monte Carlo method

46.

Optimal Convergence Trading for Cross-listed Stocks

Number of pages: 33 Posted: 08 Mar 2020
Christian-Oliver Ewald, Pengcheng Song, Yao Wu and Hai Zhang
University of Glasgow, Peking University, Peking University and Strathclyde Business School
Downloads 101 (448,323)
Citation 1

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Investment Analysis, Optimal Relative-Price Trading, Time-Delay Arbitrage, Cross-Listed Stocks, Stochastic Control

47.

Optimal Contracts for Central Bankers: Calls on Inflation

Number of pages: 13 Posted: 05 Jul 2010 Last Revised: 18 Oct 2012
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance
Downloads 100 (451,376)

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Inflation linked bonds, Monetary policy, rational expectation

48.

After Tax Payoff of CPPI

Number of pages: 14 Posted: 05 Apr 2011
Ian Gregory, Christian-Oliver Ewald and Pieter Knox
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 94 (470,004)

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49.

Asymptotic Solutions for Australian Options with Low Volatility

Number of pages: 22 Posted: 04 Oct 2011
Sai Hung Marten Ting and Christian-Oliver Ewald
The University of Sydney and University of Glasgow
Downloads 93 (473,291)
Citation 2

Abstract:

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Asian options, asymptotic expansions, stochastic volatility

50.

Privatization of Businesses and Flexible Investment: A Real Option Approach

Number of pages: 19 Posted: 19 Jul 2010
Walailuck Chavanasporn and Christian-Oliver Ewald
affiliation not provided to SSRN and University of Glasgow
Downloads 93 (473,291)

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investment decisions, privatization, real options, industrial organization, stochastic optimal control, dynamic programming

51.

On the Performance of the Comonotonicity Approach for Pricing Asian Option in Some Benchmark Models from Equities and Commodities

Number of pages: 38 Posted: 08 Feb 2014
Jilong Chen and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 92 (476,613)
Citation 3

Abstract:

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Asian Options, Commodities, Hedging, Risk Management

52.

On Peacocks and Lyrebirds: Australian Options, Brownian Bridges and the Average of Sub-Martingales

Number of pages: 20 Posted: 03 May 2015 Last Revised: 14 Sep 2015
Christian-Oliver Ewald and Marc Yor
University of Glasgow and Université Paris VI Pierre et Marie Curie
Downloads 89 (486,449)
Citation 1

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Peacocks, Convex Order, Asian Options, Brownian Bridges, Random Fields

53.

Real Options, Risk Aversion and Markets: A Corporate Finance Perspective

Number of pages: 41 Posted: 29 Nov 2018 Last Revised: 28 May 2020
Christian-Oliver Ewald and Bart Taub
University of Glasgow and Glasgow University
Downloads 87 (493,311)

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Finance, Real Options, Risk Aversion, CAPM, Optimal Stopping

54.

Hedging Longevity Risk in Defined Contribution Pension Schemes

Number of pages: 31 Posted: 10 Mar 2020 Last Revised: 21 May 2020
Ankush Agarwal, Christian-Oliver Ewald and Yongjie Wang
affiliation not provided to SSRN, University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 81 (515,126)

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defined contribution pension scheme, longevity bond, stochastic control, dynamic programming principle

55.

Time Dependent Volatility in Futures Contract Options

Number of pages: 19 Posted: 17 Jan 2018
Jilong Chen and Christian-Oliver Ewald
Zhejiang Gongshang University (ZJGSU) and University of Glasgow
Downloads 69 (564,022)

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56.

Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

Number of pages: 32 Posted: 01 Apr 2020
Christian-Oliver Ewald and Yihan Zou
University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 66 (577,446)
Citation 1

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linear quadratic volatility, jump process, general method of moments, power variations, multi-power variations, Monte Carlo

57.

Monte Carlo methods for real options under parameter uncertainty in multi-dimensional models

Number of pages: 30 Posted: 01 Apr 2020 Last Revised: 01 Sep 2023
Ankush Agarwal, Christian-Oliver Ewald and Yihan Zou
University of Glasgow - Adam Smith Business School, University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 65 (582,024)

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Finance; Simulation; Real Options; Model Ambiguity; Reflected Backward Stochastic Differential Equations

58.

Sample Frequency Robustness and Accuracy in Forecasting Value at Risk for Brent Crude Oil Futures

Finance Research Letters, Forthcoming
Number of pages: 24 Posted: 13 Apr 2022 Last Revised: 21 Aug 2023
Christian-Oliver Ewald, Jelena Hadina, Erik Haugom, Gudbrand Lien, Ståle Størdal and Muhammad Yahya
University of Glasgow, Inland Norway University of Applied Sciences, Inland Norway University of Applied Sciences, Inland School of Business and Social Sciences, Lillehammer University College and Norwegian University of Life Sciences (NMBU) - School of Economics and Business
Downloads 63 (591,141)

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Realized volatility, sample frequency, Value-at-Risk forecasting, HAR-RV, HARQREG

59.

A Lattice Method for Option Evaluation with Regime-Switching Asset Correlation Structure

Number of pages: 25 Posted: 06 Jun 2015
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 63 (591,141)

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Lattice methods, Option Evaluation, Pentanomial Lattice, Regime-Switching, Correlation, Kim Filter

60.

On Aspects of Inflation in the Context of Commodity and Futures Market

Number of pages: 49 Posted: 02 Jun 2022
Christian-Oliver Ewald and Yixiao Mao
University of Glasgow and University of Glasgow
Downloads 42 (708,218)

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Inflation, commodity markets, futures, options

61.

Sharing of Longevity Basis Risk in Pension Schemes With Income-Drawdown Guarantees

Number of pages: 27 Posted: 10 Mar 2020 Last Revised: 23 Sep 2021
Ankush Agarwal, Christian-Oliver Ewald and Yongjie Wang
affiliation not provided to SSRN, University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 40 (728,625)
Citation 1

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Pension scheme, longevity basis risk, mortality-linked instrument, stochastic control, dynamic programming principle

62.

Hedging Longevity Risk in Defined Contribution Pension Schemes

Number of pages: 28 Posted: 21 May 2021 Last Revised: 02 Aug 2022
Ankush Agarwal, Christian-Oliver Ewald and Yongjie Wang
University of Glasgow - Adam Smith Business School, University of Glasgow and University of Glasgow - Adam Smith Business School
Downloads 39 (728,625)
Citation 1

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defined contribution pension scheme, longevity bond, stochastic control, dynamic programming principle

63.

Hedging Crude Oil Derivatives in GARCH-Type Models

Journal of Energy Markets, Vol. 7, No. 1, 2014
Number of pages: 24 Posted: 06 Jun 2016
Tak Kuen Siu, Roy Nawar and Christian-Oliver Ewald
City University London, Barclays Securities and University of Glasgow
Downloads 0 (1,058,163)
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GARCH, crude oil, hedging, derivatives

64.

On the Effects of Changing Mortality Patterns on Investment, Labour and Consumption under Uncertainty

Posted: 05 Apr 2012 Last Revised: 30 Jul 2019
Christian-Oliver Ewald and Aihua Zhang
University of Glasgow and University of Leicester - Department of Mathematics

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Lifecycles, consumption and investment, mortality risk, martingale method

65.

Asian and Australian options: A common perspective

Journal of Economic Dynamics and Control, Vol. 37, No. 5, 2013
Posted: 09 Sep 2009 Last Revised: 17 Sep 2013
Christian-Oliver Ewald, Olaf Menkens and Sai Hung Marten Ting
University of Glasgow, Dublin City University - School of Mathematical Sciences and The University of Sydney

Abstract:

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Asset pricing, Derivatives, Asian Options, Numerical Methods

66.

Markets for Inflation Indexed Securities as Mechanisms for Efficient Monetary Policy

Posted: 01 Apr 2009 Last Revised: 18 Oct 2012
Christian-Oliver Ewald and Johannes Geissler
University of Glasgow and University of St. Andrews - School of Economics and Finance

Abstract:

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Monetary policy, inflationary bias, mechanisms, inflation indexed

67.

Insider Trading in Stochastic Volatility Models

International Journal of Theoretical and Applied Finance, Vol. 8, No. 3, 2005
Posted: 08 Oct 2008
Christian-Oliver Ewald
University of Glasgow

Abstract:

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Malliavin calculus, insider trading, portfolio optimization, assymetric information

68.

Parental Care as a Differential Game: A Dynamic Extension of the Houston-Davies Game

Applied Mathematics and Computation, Vol. 190, No. 2, pp. 1450-1465, July 15, 2007
Posted: 30 Apr 2008
Christian-Oliver Ewald, John McNamara and Alasdair Houston
University of Glasgow, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

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Models of parental care, Behavioral ecology, Differential games, Game theory

69.

The Malliavin Gradient Method for the Calibration of Stochastic Dynamical Models

Applied Mathematics and Computation, Vol. 175, No. 2, pp. 1332-1352, April 15, 2006
Posted: 30 Apr 2008
Christian-Oliver Ewald
University of Glasgow

Abstract:

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Malliavin calculus, Monte-Carlo simulation, Calibration, Gradient methods, Diffusion-models, Optimization

70.

Continuous Time Evolutionary Market Dynamics: The Case of Fix-Mix Strategies

Investment Management and Financial Innovations, Vol. 5, No. 1, March 2008
Posted: 24 Apr 2008
Zhaojun Yang and Christian-Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow

Abstract:

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Evolutionary Economics, Evolutionary Finance, continuous-time portfolio theory, endogenously determined asset prices, evolutionary stability of trading strategies

71.

A New Method for the Calibration of Stochastic Volatility Models: The Malliavin Gradient Method

Quantitative Finance, Vol. 6, No. 2, pp. 147-158, April 2006
Posted: 16 Jan 2008
Christian-Oliver Ewald and Aihua Zhang
University of Glasgow and University of Leicester - Department of Mathematics

Abstract:

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Malliavin calculus, Monte Carlo simulation, Stochastic volatility models, Calibration, Gradient methods, Value at risk

72.

The Malliavin Calculus and Stochastic Differential Games with Information Asymmetry

PROCEEDINGS OF THE SECOND CONFERENCE ON GAME THEORY AND APPLICATIONS, Hongwei Gao, Leon A. Petrosyan, eds., pp. 26-30, World Academic Union Ltd, September 2007
Posted: 16 Jan 2008
Christian-Oliver Ewald
University of Glasgow

Abstract:

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Stochastic differential games, Malliavin calculus, dynamic games, information asymmetry

73.

Local Volatility in the Heston Model: A Malliavin Calculus Approach

Journal of Applied Mathematics and Stochastic Analysis, Vol. 2005, No. 3, pp. 307-322, 2005
Posted: 03 Jan 2008
Christian-Oliver Ewald
University of Glasgow

Abstract:

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stochastic volatility models, local volatility, Malliavin calculus, Monte Carlo methods

74.

Optimal Management and Inflation Protection for Defined Contribution Pension Plans

Posted: 29 Mar 2007
Aihua Zhang, Ralf Korn and Christian-Oliver Ewald
University of Leicester - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and University of Glasgow

Abstract:

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Pension mathematics, inflation, long-term investment