Christian-Oliver Ewald : Citation Profile

Are you Christian-Oliver Ewald?

University of Glasgow (50% share)
Høgskolen i Innlandet (50% share)

7

H index

6

i10 index

203

Citations

RESEARCH PRODUCTION:

47

Articles

13

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 10
   Journals where Christian-Oliver Ewald has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 25 (10.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pew4
   Updated: 2024-11-04    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

Nolan, Charles (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 (8)

Leung, Tim (6)

Santugini, Marc (2)

Stöckl, Sebastian (2)

Cao, Jiling (2)

chen, hua (2)

Colombo, Luca (2)

Härdle, Wolfgang (2)

Fulli-Lemaire, Nicolas (2)

Engwerda, Jacob (2)

Alexander, Carol (2)

Cites to:

Andersen, Torben (12)

merton, robert (11)

Bollerslev, Tim (10)

Chen, Zhiwu (9)

Cao, Charles (9)

Blake, David (8)

Menoncin, Francesco (6)

Metcalf, Gilbert (6)

Diebold, Francis (6)

hassett, kevin (6)

Pindyck, Robert (5)

Main data

Where Christian-Oliver Ewald has published?

Journals with more than one article published# docs
Quantitative Finance6
Journal of Economic Dynamics and Control5
Mathematical Social Sciences3
Mathematical Methods of Operations Research3
Finance Research Letters2
Mathematical Finance2
Annals of Operations Research2
Energy Economics2
Statistics & Probability Letters2
Decisions in Economics and Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
MPRA Paper / University Library of Munich, Germany3
Working Papers / Business School - Economics, University of Glasgow2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Christian-Oliver Ewald (2024 and 2023)

YearTitle of citing document
2024Mind your language: Political discourse affects deforestation in the Brazilian Amazon. (2023). Borner, Jan ; Sellare, Jorge ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334.

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2023Sensitivities of Asian options in the Black-Scholes model. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2301.06460.

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2023Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Yang, Dongfang ; Xu, Zuo Quan ; Mi, Hui. In: Papers. RePEc:arx:papers:2309.01936.

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2023Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693.

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2023Investment and financing analysis for a venture capital alternative. (2023). Yang, Zhaojun ; Dong, Linjia. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002067.

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2024The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs. (2024). Yoon, Ji-Hun ; Shin, Yong Hyun ; Kim, Donghyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300181x.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886.

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2024Risk pooling under demand and price uncertainty. (2024). Erkip, Nesim ; Gullu, Refik. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:120-129.

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2023The role of Chinas crude oil futures in world oil futures market and Chinas financial market. (2023). Gong, XU ; Sun, Jiacheng ; Min, Jialin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001172.

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83.

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2023Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023Greening the economic recovery: Natural resource market efficiency as a key driver. (2023). Tashkhodjaev, Mukhtorkhon ; Jiang, Mengzhen ; Xiong, Wei ; Pashayev, Zohrab. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723009790.

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2024Valuing of timer path-dependent options. (2024). Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227.

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2024Valuation 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.

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2024Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Yue, Jia ; He, Xin-Jiang ; Yang, Ben-Zhang ; Hu, Zhihao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230.

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2023.

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2023Hedging cryptocurrency options. (2023). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6.

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Works by Christian-Oliver Ewald:

YearTitleTypeCited
2020Hedging longevity risk in defined contribution pension schemes In: Papers.
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2023Hedging longevity risk in defined contribution pension schemes.(2023) In: Computational Management Science.
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This paper has nother version. Agregated cites: 0		article
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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This paper has nother version. Agregated cites: 0		paper
2023On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making In: Papers.
[Full Text][Citation analysis]		paper0
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]		article3
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.
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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.
[Full Text][Citation analysis]		article1
2024On 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]		article1
2024On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux.(2024) In: Working Papers.
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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]		article4
2016Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk In: Journal of Economic Dynamics and Control.
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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.
[Full Text][Citation analysis]		article5
2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
2022Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? In: Energy Economics.
[Full Text][Citation analysis]		article1
2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
[Full Text][Citation analysis]		article3
2017Pricing 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]		article1
2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2008On the qualitative effect of volatility and duration on prices of Asian options In: Finance Research Letters.
[Full Text][Citation analysis]		article7
2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty In: Insurance: Mathematics and Economics.
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2023Trading time seasonality in electricity futures In: Journal of Commodity Markets.
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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]		article6
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.
[Full Text][Citation analysis]		article1
2005Local volatility in the Heston model: a Malliavin calculus approach In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article2
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]		article3
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.
[Full Text][Citation analysis]		paper22
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.
[Full Text][Citation analysis]		article9
2022Pricing 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]		article1
2010Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article6
2012Privatization of businesses and flexible investment: a real option approach In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article1
2008Utility 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]		article12
2010Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article25
2011Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article1
2014Asymptotic Solutions for Australian Options with Low Volatility In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
2013On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model In: Quantitative Finance.
[Full Text][Citation analysis]		article1
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.
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2023Pricing Asian options with stochastic convenience yield and jumps In: Quantitative Finance.
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2006A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2009Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance.
[Full Text][Citation analysis]		article29
2017An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield In: Marine Resource Economics.
[Full Text][Citation analysis]		article2
2005A note on the Malliavin differentiability of the Heston volatility In: Economics Working Papers.
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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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