8
H index
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i10 index
222
Citations
Christian-Oliver Ewald : Citation Profile
University of Glasgow (50% share) | RESEARCH PRODUCTION: 50 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2005 - 2025). 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 |
|---|---|
| Papers / arXiv.org | 4 |
| MPRA Paper / University Library of Munich, Germany | 3 |
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
| Working Papers / Business School - Economics, University of Glasgow | 2 |
Recent works citing Christian-Oliver Ewald (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Mind your language: Political signaling and deforestation in the Brazilian Amazon. (2024). Sellare, Jorge ; Borner, Jan ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334. Full description at Econpapers || Download paper |
| 2024 | Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus. (2024). Yagishita, Shotaro ; Otsuki, Yuta. In: Papers. RePEc:arx:papers:2411.05417. Full description at Econpapers || Download paper |
| 2025 | A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian. In: Papers. RePEc:arx:papers:2501.15596. Full description at Econpapers || Download paper |
| 2025 | Symmetry classification and invariant solutions of the classical geometric mean reversion process. (2025). Gao, Dapeng ; Zhang, Jin. In: Papers. RePEc:arx:papers:2504.13094. Full description at Econpapers || Download paper |
| 2024 | The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs. (2024). Shin, Yong Hyun ; Yoon, Ji-Hun ; Kim, Donghyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300181x. Full description at Econpapers || Download paper |
| 2024 | Addressing the financial impact of natural disasters in the era of climate change. (2024). Orlando, Giuseppe ; Bufalo, Michele ; Ceci, Claudia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000779. Full description at Econpapers || Download paper |
| 2024 | Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model. (2024). Lee, Jin Young ; Kim, Jeongsim ; Yoon, Hyungkuk. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001645. Full description at Econpapers || Download paper |
| 2024 | Risk pooling under demand and price uncertainty. (2024). Gullu, Refik ; Erkip, Nesim. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:120-129. Full description at Econpapers || Download paper |
| 2024 | Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882. Full description at Econpapers || Download paper |
| 2024 | Seasonality patterns in LNG shipping spot and time charter freight rates. (2024). Polemis, Dionysios ; Bentsos, Christos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000436. Full description at Econpapers || Download paper |
| 2024 | Valuing of timer path-dependent options. (2024). Ha, Mijin ; Yoon, Ji-Hun ; Kim, Donghyun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227. Full description at Econpapers || Download paper |
| 2024 | Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269. Full description at Econpapers || Download paper |
| 2024 | Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Hu, Zhihao ; He, Xin-Jiang ; Yue, Jia ; Yang, Ben-Zhang. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230. Full description at Econpapers || Download paper |
| 2024 | Market uncertainty and information content in complex seasonality of prices. (2024). Li, Zhongfei ; Ji, Yuqiong ; Tang, Wenjin ; Bu, Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001811. Full description at Econpapers || Download paper |
| 2024 | Enhancing Value-at-Risk with Credible Expected Risk Models. (2024). Puspitasari, Rizka ; Jannah, Miftahul ; Mufaridho, Lailatul ; Syuhada, Khreshna ; Darma, Kadek I ; Elonasari, Elonasari ; Rohmawati, Aniq. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:3:p:80-:d:1457590. Full description at Econpapers || Download paper |
| 2024 | Combining Differential Equations with Stochastic for Economic Growth Models in Indonesia: A Comprehensive Literature Review. (2024). Supriatna, Asep K ; Aisy, Khoirunnisa Rohadatul ; Foster, Bob ; Rusyaman, Endang ; Johansyah, Muhamad Deni. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3219-:d:1498662. Full description at Econpapers || Download paper |
| 2025 | Stubbornness as Control in Professional Soccer Games: A BPPSDE Approach. (2025). Pramanik, Paramahansa. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:475-:d:1580974. Full description at Econpapers || Download paper |
| 2024 | Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (2024). Moreno, Manuel ; Len-Prez, Beln. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05904-x. Full description at Econpapers || Download paper |
| 2025 | Forecasting oil commodity spot price in a data-rich environment. (2025). Liu, Zhenya ; Boubaker, Sabri ; Zhang, Yifan. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-05004-8. Full description at Econpapers || Download paper |
| 2025 | Uncertainty and fluctuation in crude oil price: evidence from machine learning models. (2025). Zhu, BO ; Lu, Xinjie ; Ma, Feng. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-023-05463-7. Full description at Econpapers || Download paper |
| 2024 | Resource Mobility and Market Performance. (2024). Labrecciosa, Paola ; Colombo, Luca. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:14:y:2024:i:1:d:10.1007_s13235-023-00517-8. Full description at Econpapers || Download paper |
| 2024 | Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility. (2024). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:1:d:10.1007_s11009-024-10072-3. Full description at Econpapers || Download paper |
Works by Christian-Oliver Ewald:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Hedging longevity risk in defined contribution pension schemes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Hedging longevity risk in defined contribution pension schemes.(2023) In: Computational Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Sharing of longevity basis risk in pension schemes with income-drawdown guarantees In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Sharing of longevity basis risk in pension schemes with income-drawdown guarantees.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | On the impact of feeding cost risk in aquaculture valuation and decision making.(2024) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2025 | Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY In: Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales In: Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
| 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 |
| 2017 | Optimal contracts for central bankers: Calls on inflation In: Applied Mathematics and Computation. [Full Text][Citation analysis] | article | 0 |
| 2022 | Real options, risk aversion and markets: A corporate finance perspective In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 1 |
| 2024 | On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2024 | On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 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 | 12 |
| 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 | 4 |
| 2016 | Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2021 | Analytic 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. [Full Text][Citation analysis] | article | 8 |
| 2021 | Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 2022 | Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
| 2013 | Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics. [Full Text][Citation analysis] | article | 3 |
| 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 |
| 2023 | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures In: Finance Research Letters. [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 | 7 |
| 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 |
| 2023 | Trading time seasonality in electricity futures In: Journal of Commodity Markets. [Full Text][Citation analysis] | article | 2 |
| 2024 | The role of news sentiment in salmon price prediction using deep learning In: Journal of Commodity Markets. [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 | 7 |
| 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 | 6 |
| 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 | 2 |
| 2024 | On the Effects of Physical Climate Risks on the Chinese Energy Sector In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2005 | Local volatility in the Heston model: a Malliavin calculus approach In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 2 |
| 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 In: Journal of Probability and Statistics. [Full Text][Citation analysis] | article | 0 |
| 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 | 15 |
| 2007 | Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper. [Full Text][Citation analysis] | paper | 21 |
| 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 |
| 2022 | Riding the Nordic German Power-Spread: The Einar Aas Experiment In: The Energy Journal. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | paper | 3 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| 2019 | On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter In: Annals of Operations Research. [Full Text][Citation analysis] | article | 11 |
| 2022 | Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil In: Annals of Operations Research. [Full Text][Citation analysis] | article | 2 |
| 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 | 6 |
| 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 | 13 |
| 2010 | Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 27 |
| 2011 | Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 2 |
| 2014 | Asymptotic Solutions for Australian Options with Low Volatility In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2013 | On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | Special Issue of on ‘Commodity Markets’ In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2023 | Pricing Asian options with stochastic convenience yield and jumps In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2006 | A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2009 | Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance. [Full Text][Citation analysis] | article | 29 |
| 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. Last updated April, 14 2025. Contact: CitEc Team