Christian-Oliver Ewald : Citation Profile

Are you Christian-Oliver Ewald?

University of Glasgow

7

H index

6

i10 index

162

Citations

RESEARCH PRODUCTION:

39

Articles

11

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 9
   Journals where Christian-Oliver Ewald has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 21 (11.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pew4
   Updated: 2022-11-19    RAS profile: 2022-05-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian-Oliver Ewald.

Is cited by:

Yang, Zhaojun (6)

Leung, Tim (4)

Santugini, Marc (2)

Härdle, Wolfgang (2)

Alexander, Carol (2)

Fesselmeyer, Eric (2)

Stöckl, Sebastian (2)

Fulli-Lemaire, Nicolas (2)

Engwerda, Jacob (2)

Colombo, Luca (2)

Cao, Jiling (2)

Cites to:

merton, robert (11)

Carr, Peter (10)

Cao, Charles (9)

Chen, Zhiwu (9)

Blake, David (8)

hassett, kevin (6)

Menoncin, Francesco (6)

Andersen, Torben (6)

Metcalf, Gilbert (6)

Bodie, Zvi (5)

Milevsky, Moshe (5)

Main data

Where Christian-Oliver Ewald has published?

Journals with more than one article published# docs
Quantitative Finance5
Journal of Economic Dynamics and Control4
Mathematical Social Sciences3
Mathematical Methods of Operations Research3
Statistics & Probability Letters2
Mathematical Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Decisions in Economics and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Papers / arXiv.org2

Recent works citing Christian-Oliver Ewald (2022 and 2021)

YearTitle of citing document
2022Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach. (2020). Targino, Rodrigo ; Saporito, Yuri F. In: Papers. RePEc:arx:papers:2004.13235.

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2021Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin. In: Papers. RePEc:arx:papers:2104.00911.

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2021On Modelling of Crude Oil Futures in a Bivariate State-Space Framework. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01886.

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2022Delta family approach for the stochastic control problems of utility maximization. (2022). Ma, Jingtang ; Cui, Zhenyu ; Lu, Zhengyang. In: Papers. RePEc:arx:papers:2202.12745.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2021Interbank lending with benchmark rates: Pareto optima for a class of singular control games. (2021). Xu, Renyuan ; Guo, Xin ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1357-1393.

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2021A stochastic differential game of duopolistic competition with sticky prices. (2021). Labrecciosa, Paola ; Colombo, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301986.

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2022Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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2022Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174.

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2022Robust leverage decision under locked wealth and high-water mark contract. (2022). Yan, Jingzhou ; Xu, Jiawen ; Wu, Xiaoping ; Luo, Deqing. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004177.

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2022Product quality differentiation in a renewable resource oligopoly. (2022). Colombo, Luca ; Labrecciosa, Paola. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:111:y:2022:i:c:s0095069621001303.

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2022.

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2021The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model. (2021). Neuenkirch, Andreas ; Mickel, Annalena. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:23-:d:478888.

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2022Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods. (2022). Wu, Zhijian ; Ma, Chaoqun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09181-9.

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2021Exotic options: conceptualization and evolution in the literature from a systematic review. (2021). Rivero, Maria Andrea ; de la Paz, Maria ; Chavez, Etelvina ; Pedroni, Florencia Veronica ; Pesce, Gabriela. In: Lecturas de Economía. RePEc:lde:journl:y:2021:i:95:p:231-275.

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2021Charitable Giving and NPOs Investment Decision in a Stochastic Dynamic Economy. (2021). Jiang, Han ; Simons, Aggey. In: Working Papers. RePEc:ott:wpaper:2113e.

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2022HARI: Characteristics of a new defined lifestyle (DL) retirement planning product. (2022). Malladi, Rama. In: Journal of Financial Services Marketing. RePEc:pal:jofsma:v:27:y:2022:i:2:d:10.1057_s41264-021-00108-x.

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2021Hedging Cryptocurrency Options. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: MPRA Paper. RePEc:pra:mprapa:110774.

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2022Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7.

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2022Optimal investment for a pension fund under inflation risk. (2010). Zhang, Aihua ; Ewald, Christian-Oliver. In: Computational Statistics. RePEc:spr:compst:v:71:y:2010:i:2:p:353-369.

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2021Optimal quantile hedging under Markov regime switching. (2021). Lien, Donald ; Yu, Xiaojian ; Wang, Ziling. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2022Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process. (2022). Zhang, Xiaoyi. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09930-9.

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2021Portfolio Optimization with Choice of a Probability Measure. (2021). Saito, Taiga ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1165.

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2021On the computation of hedging strategies in affine GARCH models. (2021). Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:710-735.

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2021Hedging cryptocurrency options. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Packham, Natalie ; Matic, Jovanka. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021021.

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Works by Christian-Oliver Ewald:

YearTitleTypeCited
2020Hedging longevity risk in defined contribution pension schemes In: Papers.
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2020Sharing of longevity basis risk in pension schemes with income-drawdown guarantees In: Papers.
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2020Sharing of longevity basis risk in pension schemes with income-drawdown guarantees.(2020) In: Working Papers.
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2015MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY In: Mathematical Finance.
[Full Text][Citation analysis]		article0
2018On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales In: Mathematical Finance.
[Full Text][Citation analysis]		article1
2007Stochastic Volatility: Risk Minimization and Model Risk In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2007Closed-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 In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2017Optimal contracts for central bankers: Calls on inflation In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article0
2022Real options, risk aversion and markets: A corporate finance perspective In: Journal of Corporate Finance.
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2010A stochastic differential Fishery game for a two species fish population with ecological interaction In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article11
2013Asian and Australian options: A common perspective In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article5
2015On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2016Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? In: European Journal of Operational Research.
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2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data In: Journal of Empirical Finance.
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2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
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2017Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method In: International Review of Financial Analysis.
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2008On the qualitative effect of volatility and duration on prices of Asian options In: Finance Research Letters.
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2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2010Irreversible investment with Cox-Ingersoll-Ross type mean reversion In: Mathematical Social Sciences.
[Full Text][Citation analysis]		article7
2011Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide In: Mathematical Social Sciences.
[Full Text][Citation analysis]		article3
2013On the investment–uncertainty relationship in a real option model with stochastic volatility In: Mathematical Social Sciences.
[Full Text][Citation analysis]		article4
2008A note on the Malliavin derivative operator under change of variable In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2010On the non-equilibrium density of geometric mean reversion In: Statistics & Probability Letters.
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2005Local volatility in the Heston model: a Malliavin calculus approach In: International Journal of Stochastic Analysis.
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2011A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA In: Journal of Probability and Statistics.
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2012A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control In: Computational Economics.
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2017On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics.
[Full Text][Citation analysis]		article2
2007Malliavin differentiability of the Heston volatility and applications to option pricing In: MPRA Paper.
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2007Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper.
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2007INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL. In: MPRA Paper.
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2019On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter In: Annals of Operations Research.
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2010Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model In: Decisions in Economics and Finance.
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2012Privatization of businesses and flexible investment: a real option approach In: Decisions in Economics and Finance.
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2008Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk In: Mathematical Methods of Operations Research.
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2010Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article21
2011Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus In: Mathematical Methods of Operations Research.
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2014Asymptotic Solutions for Australian Options with Low Volatility In: Applied Mathematical Finance.
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2013On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model In: Quantitative Finance.
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2016Special Issue of on ‘Commodity Markets’ In: Quantitative Finance.
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2016The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2006A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance.
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2009Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance.
[Full Text][Citation analysis]		article27
2017An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield In: Marine Resource Economics.
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2005A note on the Malliavin differentiability of the Heston volatility In: Economics Working Papers.
[Full Text][Citation analysis]		paper2
2005OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET In: International Journal of Theoretical and Applied Finance (IJTAF).
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2009IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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