Christian-Oliver Ewald : Citation Profile


Are you Christian-Oliver Ewald?

University of Glasgow

6

H index

5

i10 index

119

Citations

RESEARCH PRODUCTION:

29

Articles

6

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 9
   Journals where Christian-Oliver Ewald has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 17 (12.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pew4
   Updated: 2019-10-15    RAS profile: 2017-11-11    
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Relations with other researchers


Works with:

Siu, Tak Kuen (2)

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 (5)

Leung, Tim (4)

Stöckl, Sebastian (2)

Fulli-Lemaire, Nicolas (2)

Alexander, Carol (2)

Vicente, José Valentim (1)

Prigent, Jean-Luc (1)

Athanasoglou, Stergios (1)

Forster, Martin (1)

Almeida, Caio (1)

Santugini, Marc (1)

Cites to:

merton, robert (11)

Metcalf, Gilbert (6)

Chen, Zhiwu (6)

Cao, Charles (6)

hassett, kevin (6)

Bodie, Zvi (5)

Blake, David (4)

Pindyck, Robert (4)

Benhamou, Eric (3)

Siegel, Donald (3)

Dowd, Kevin (3)

Main data


Where Christian-Oliver Ewald has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Mathematical Methods of Operations Research3
Quantitative Finance3
Mathematical Social Sciences3
Decisions in Economics and Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Statistics & Probability Letters2

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

Recent works citing Christian-Oliver Ewald (2018 and 2017)


YearTitle of citing document
2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.04488.

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2018Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus. (2018). Yilmaz, Bilgi. In: Papers. RePEc:arx:papers:1806.06061.

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2018On the optimal choice of strike conventions in exchange option pricing. (2018). Alos, Elisa ; Coulon, Michael . In: Papers. RePEc:arx:papers:1807.05396.

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2018Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (2018). Kolliopoulos, Nikolaos. In: Papers. RePEc:arx:papers:1811.08808.

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2017Optimal contracts for central bankers: Calls on inflation. (2017). Ewald, Christian-Oliver ; Geissler, Johannes . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:292:y:2017:i:c:p:57-62.

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2017Dynamic asset allocation and consumption under inflation inequality: The impacts of inflation experiences and expectations. (2017). Li, Shaoyu ; Xu, Zhiwei ; Wei, Lijia. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:113-125.

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2018Dynamic provision of public goods under uncertainty. (2018). Tamai, Toshiki. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:409-415.

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2017Resource extraction with a carbon tax and regime switching prices: Exercising your options. (2017). Insley, Margaret. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:1-16.

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2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (2017). Chen, Zheng ; Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:137-150.

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2017Unit-linked life insurance policies: Optimal hedging in partially observable market models. (2017). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:149-163.

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2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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2019Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. (2019). Zheng, Harry ; Dong, Yinghui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:47-59.

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2017Optimal delta hedging for options. (2017). White, Alan ; Hull, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:180-190.

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2018Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies. (2018). Misund, Brd. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:19-30.

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2018Optimal hedging strategies for salmon producers. (2018). Westgaard, Sjur ; Schutz, Peter. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:60-70.

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2018Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:402-418.

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2018Hedge fund leverage with stochastic market conditions. (2018). Zhao, LI ; Li, Shenghong ; Yang, Chen ; Huang, Wenli. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:258-273.

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2017Weak decreasing stochastic order. (2017). Bogso, Antoine-Marie ; Soh, Patrice Takam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:49-58.

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2018The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase. (2018). Zhang, Xiaoyi ; Guo, Junyi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:24-:d:137519.

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2018Volatility Is Log-Normal—But Not for the Reason You Think. (2018). Tegner, Martin ; Poulsen, Rolf. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:46-:d:143022.

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2019Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. (2019). Wang, Zheng ; Leung, Tim. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0336-1.

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2019Pricing Perpetual American Lookback Options Under Stochastic Volatility. (2019). Lee, Min-Ku. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9782-5.

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2017Predators in the market: implications of market interaction on optimal resource management. (2017). Steinshamn, Stein Ivar. In: Journal of Bioeconomics. RePEc:kap:jbioec:v:19:y:2017:i:3:d:10.1007_s10818-017-9252-0.

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2019A real option application for emission control measures. (2019). Schultmann, Frank ; Gloser-Chahoud, Simon ; Schiel, Carmen. In: Journal of Business Economics. RePEc:spr:jbecon:v:89:y:2019:i:3:d:10.1007_s11573-018-0913-9.

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2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks. (2017). Pan, Jian ; Xiao, Qingxian. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0580-6.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y.

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2017The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments. (2017). Ellersgaard, Simon ; Poulsen, Rolf ; Jonsson, Martin. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:515-529.

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2017Pricing and hedging contingent claims using variance and higher order moment swaps. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:531-550.

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2017Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318.

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2018Dividend derivatives. (2018). Tunaru, R S. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:63-81.

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2018Learning minimum variance discrete hedging directly from the market. (2018). Nian, KE ; Li, Yuying ; Coleman, Thomas F. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:7:p:1115-1128.

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2017Stabilization of an Uncertain Simple Fishery Management Game. (2017). Engwerda, Jacob. In: Discussion Paper. RePEc:tiu:tiucen:3823c5f7-1ade-4bd2-bcb8-eff724c3d781.

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2017Pricing and hedging Margrabe options with stochastic volatilities. (2017). Alos, Elisa ; Rheinlander, Thorsten. In: Economics Working Papers. RePEc:upf:upfgen:1475.

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2018SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL. (2018). Pirjol, Dan ; Zhu, Lingjiong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500085.

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Works by Christian-Oliver Ewald:


YearTitleTypeCited
2015MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY In: Mathematical Finance.
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article1
2007Stochastic Volatility: Risk Minimization and Model Risk In: Swiss Finance Institute Research Paper Series.
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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.
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paper0
2010A stochastic differential Fishery game for a two species fish population with ecological interaction In: Journal of Economic Dynamics and Control.
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article6
2013Asian and Australian options: A common perspective In: Journal of Economic Dynamics and Control.
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article5
2015On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options In: Journal of Economic Dynamics and Control.
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article1
2016Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk In: Journal of Economic Dynamics and Control.
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article0
2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
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article2
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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article0
2008On the qualitative effect of volatility and duration on prices of Asian options In: Finance Research Letters.
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article6
2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty In: Insurance: Mathematics and Economics.
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article0
2010Irreversible investment with Cox-Ingersoll-Ross type mean reversion In: Mathematical Social Sciences.
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article6
2011Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide In: Mathematical Social Sciences.
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article2
2013On the investment–uncertainty relationship in a real option model with stochastic volatility In: Mathematical Social Sciences.
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article2
2008A note on the Malliavin derivative operator under change of variable In: Statistics & Probability Letters.
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article1
2010On the non-equilibrium density of geometric mean reversion In: Statistics & Probability Letters.
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article1
2012A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control In: Computational Economics.
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article0
2017On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics.
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article3
2007Malliavin differentiability of the Heston volatility and applications to option pricing In: MPRA Paper.
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paper14
2007Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper.
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paper15
2007INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL. In: MPRA Paper.
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paper1
2010Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model In: Decisions in Economics and Finance.
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article3
2012Privatization of businesses and flexible investment: a real option approach In: Decisions in Economics and Finance.
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article0
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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article10
2010Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research.
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article12
2011Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus In: Mathematical Methods of Operations Research.
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article0
2014Asymptotic Solutions for Australian Options with Low Volatility In: Applied Mathematical Finance.
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article0
2013On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model In: Quantitative Finance.
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article0
2006A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance.
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article2
2009Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance.
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article23
2017An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield In: Marine Resource Economics.
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article1
2005A note on the Malliavin differentiability of the Heston volatility In: Economics Working Papers.
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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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article0
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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