6
H index
5
i10 index
134
Citations
Christian-Oliver Ewald : Citation Profile
University of Glasgow | RESEARCH PRODUCTION: 29 Articles 6 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2005 - 2017). 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:
| Cites to:
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Main data
Where Christian-Oliver Ewald has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 3 |
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Recent works citing Christian-Oliver Ewald (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (2018). Kolliopoulos, Nikolaos. In: Papers. RePEc:arx:papers:1811.08808. Full description at Econpapers || Download paper |
| 2020 | Confidence sets for dynamic poverty indexes. (2020). Regnault, Philippe ; de Blasis, Riccardo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2006.06595. Full description at Econpapers || Download paper |
| 2020 | A kind of optimal investment problem under inflation and uncertain time horizon. (2020). Wu, Zhen ; Wang, Haiyang ; Huang, Zongyuan . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:375:y:2020:i:c:s0096300320300539. Full description at Econpapers || Download paper |
| 2020 | Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Wu, Zhijian ; Ma, Chaoqun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496. Full description at Econpapers || Download paper |
| 2020 | Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. (2020). Zheng, Harry ; Dong, Yinghui. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:341-356. Full description at Econpapers || Download paper |
| 2020 | Simple explicit formula for near-optimal stochastic lifestyling. (2020). Černý, Aleš ; Melicherik, Igor . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:769-778. Full description at Econpapers || Download paper |
| 2020 | Pareto Optima for a Class of Singular Control Games. (2020). Cont, Rama ; Xu, Renyuan ; Guo, Xin. In: Working Papers. RePEc:hal:wpaper:hal-03049246. Full description at Econpapers || Download paper |
| 2020 | Robust Estimation of Finite Horizon Dynamic Economic Models. (2020). TO, Maxime ; Jorgensen, Thomas H. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09898-8. Full description at Econpapers || Download paper |
| 2020 | A Stackelberg Game of Backward Stochastic Differential Equations with Applications. (2020). Shi, Jingtao ; Zheng, Yueyang. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:10:y:2020:i:4:d:10.1007_s13235-019-00341-z. Full description at Econpapers || Download paper |
| 2020 | Machine learning solutions to challenges in finance: An application to the pricing of financial products. (2020). Yang, Zhaojun ; Wang, Huamao ; Gan, Lirong. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:153:y:2020:i:c:s0040162519312399. Full description at Econpapers || Download paper |
Works by Christian-Oliver Ewald:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2007 | Stochastic Volatility: Risk Minimization and Model Risk In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 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 In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A stochastic differential Fishery game for a two species fish population with ecological interaction In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 2013 | Asian and Australian options: A common perspective In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
| 2015 | On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2016 | Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2013 | Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
| 2008 | On the qualitative effect of volatility and duration on prices of Asian options In: Finance Research Letters. [Full Text][Citation analysis] | article | 6 |
| 2017 | On the effects of changing mortality patterns on investment, labour and consumption under uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Irreversible investment with Cox-Ingersoll-Ross type mean reversion In: Mathematical Social Sciences. [Full Text][Citation analysis] | article | 6 |
| 2011 | Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide In: Mathematical Social Sciences. [Full Text][Citation analysis] | article | 3 |
| 2013 | On the investment–uncertainty relationship in a real option model with stochastic volatility In: Mathematical Social Sciences. [Full Text][Citation analysis] | article | 4 |
| 2008 | A note on the Malliavin derivative operator under change of variable In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2010 | On the non-equilibrium density of geometric mean reversion In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2012 | A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | On 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] | article | 3 |
| 2007 | Malliavin differentiability of the Heston volatility and applications to option pricing In: MPRA Paper. [Full Text][Citation analysis] | paper | 14 |
| 2007 | Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper. [Full Text][Citation analysis] | paper | 16 |
| 2007 | INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL. In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2012 | Privatization of businesses and flexible investment: a real option approach In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2008 | Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 10 |
| 2010 | Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 16 |
| 2011 | Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 1 |
| 2014 | Asymptotic Solutions for Australian Options with Low Volatility In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2006 | A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2009 | Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance. [Full Text][Citation analysis] | article | 23 |
| 2017 | An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield In: Marine Resource Economics. [Full Text][Citation analysis] | article | 2 |
| 2005 | A note on the Malliavin differentiability of the Heston volatility In: Economics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2005 | OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2009 | IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2017 | On 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). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team