7
H index
6
i10 index
198
Citations
University of Glasgow (50% share) | 7 H index 6 i10 index 198 Citations RESEARCH PRODUCTION: 47 Articles 13 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 3 |
Papers / arXiv.org | 3 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Working Papers / Business School - Economics, University of Glasgow | 2 |
Year | Title of citing document |
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2024 | Mind 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. Full description at Econpapers || Download paper |
2023 | Sensitivities of Asian options in the Black-Scholes model. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2301.06460. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | Pricing 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. Full description at Econpapers || Download paper |
2023 | Investment 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Optimal 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Random 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. Full description at Econpapers || Download paper |
2023 | Portfolio 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. Full description at Econpapers || Download paper |
2023 | Robust 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. Full description at Econpapers || Download paper |
2023 | The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630. Full description at Econpapers || Download paper |
2023 | Greening 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. Full description at Econpapers || Download paper |
2024 | Valuing 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. 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 |
2023 | . Full description at Econpapers || Download paper |
2023 | Hedging 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 |
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 | 0 |
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: 0 | 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 | 11 |
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 | 3 |
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 | 1 |
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 | 0 |
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 | 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 | 5 |
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 |
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 | 16 |
2007 | Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper. [Full Text][Citation analysis] | paper | 22 |
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 |
In: . [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 | 9 |
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 | 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 | 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 | 12 |
2010 | Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 25 |
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 | 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 | 0 |
2006 | A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
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 |
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