Christian-Oliver Ewald : Citation Profile

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

8

H index

7

i10 index

242

Citations

RESEARCH PRODUCTION:

52

Articles

14

Papers

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 12
   Journals where Christian-Oliver Ewald has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 28 (10.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pew4
   Updated: 2025-12-20    RAS profile: 2025-11-22    
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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)

Matic, Jovanka (4)

Misund, Bård (3)

Fesselmeyer, Eric (2)

Engwerda, Jacob (2)

Härdle, Wolfgang (2)

Stöckl, Sebastian (2)

Colombo, Luca (2)

Alexander, Carol (2)

Orlando, Giuseppe (2)

Cites to:

Andersen, Torben (15)

Bollerslev, Tim (13)

merton, robert (11)

Diebold, Francis (9)

Cao, Charles (9)

Chen, Zhiwu (9)

Blake, David (8)

Menoncin, Francesco (6)

hassett, kevin (6)

Metcalf, Gilbert (6)

Ait-Sahalia, Yacine (5)

Main data

Where Christian-Oliver Ewald has published?

Journals with more than one article published# docs
Quantitative Finance7
Journal of Economic Dynamics and Control5
Mathematical Methods of Operations Research3
Mathematical Social Sciences3
Annals of Operations Research2
Mathematical Finance2
Energy Economics2
Decisions in Economics and Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Finance Research Letters2
Journal of Commodity Markets2
Statistics & Probability Letters2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4
MPRA Paper / University Library of Munich, Germany3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Working Papers / Business School - Economics, University of Glasgow2
CRIEFF Discussion Papers / Centre for Research into Industry, Enterprise, Finance and the Firm2

Recent works citing Christian-Oliver Ewald (2025 and 2024)

YearTitle of citing document
2024Mind 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.

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2024Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus. (2024). Yagishita, Shotaro ; Otsuki, Yuta. In: Papers. RePEc:arx:papers:2411.05417.

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2025A 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.

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2025Symmetry classification and invariant solutions of the classical geometric mean reversion process. (2025). Gao, Dapeng ; Zhang, Jin. In: Papers. RePEc:arx:papers:2504.13094.

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2025Impact of random monetary shock: a Keynesian case. (2025). Dong, Lambert ; Pramanik, Paramahansa. In: Papers. RePEc:arx:papers:2505.00800.

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2025Path-dependent option pricing with two-dimensional PDE using MPDATA. (2025). Arabas, Sylwester ; Magnuszewski, Pawel. In: Papers. RePEc:arx:papers:2505.24435.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Optimal strategies for collective defined contribution plans when the stock and labor markets are co-integrated. (2025). Zhang, Jiannan ; Li, Shuanming ; Chen, Ping ; Jin, Zhuo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:490:y:2025:i:c:s0096300324006714.

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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). 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.

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2024Addressing 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.

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2024Pricing 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.

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2025Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment. (2025). Cao, Jiling ; Kim, Jeong-Hoon ; Liu, Wenqiang ; Zhang, Wenjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002833.

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2025Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield. (2025). He, Xin-Jiang ; Chen, Meiling ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000646.

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2024Risk 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.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Variance 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.

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2024Pension funds with longevity risk: an optimal portfolio insurance approach. (2024). Mancinelli, Daniele ; di Giacinto, Marina ; Oliva, Immacolata ; Marino, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:268-297.

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2025Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models. (2025). Zhang, Yumo ; Zhu, Huainian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:236-268.

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2025Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information. (2025). Luo, Liuling ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:302-324.

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2025Bayesian adaptive portfolio optimization for DC pension plans. (2025). Liang, Xiaoqing ; Guo, Junyi ; Gao, Shuping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:262-274.

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2024Seasonality 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.

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2024Forecasting crude oil returns with oil-related industry ESG indices. (2024). Zhang, Yaojie ; Li, Kaixin ; Wang, Yudong. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000631.

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2024Valuing 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.

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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). 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.

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2024Market 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.

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2024Enhancing 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.

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2025Using Markov Chains and Entropy to Explain Value at Risk in European Electricity Markets. (2025). Joaqui-Barandica, Orlando ; Manotas-Duque, Diego F ; Orozco-Cern, Oscar Walduin. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:10:p:591-:d:1775045.

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2024Combining 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.

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2025Construction of an Optimal Strategy: An Analytic Insight Through Path Integral Control Driven by a McKean–Vlasov Opinion Dynamics. (2025). Pramanik, Paramahansa. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:17:p:2842-:d:1741251.

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2025Stubbornness 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.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2025Corporate full-scale hedging and pricing of high-risk growth investment option. (2025). Triki, Ons ; Abid, Fathi. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09218-3.

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2024Fixed-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.

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2025Forecasting 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.

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2025Uncertainty 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.

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2025Optimal portfolio choice in jump-diffusion markets with longevity risk. (2025). Feleppa, Davide ; Oliva, Immacolata. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00539-0.

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2024Resource 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.

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2024Non-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.

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Works by Christian-Oliver Ewald:

YearTitleTypeCited
2020Hedging longevity risk in defined contribution pension schemes In: Papers.
[Full Text][Citation analysis]		paper2
2023Hedging longevity risk in defined contribution pension schemes.(2023) In: Computational Management Science.
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This paper has nother version. Agregated cites: 2		article
2020Sharing of longevity basis risk in pension schemes with income-drawdown guarantees In: Papers.
[Full Text][Citation analysis]		paper0
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
2024On the impact of feeding cost risk in aquaculture valuation and decision making.(2024) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0		article
2025Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty 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.
[Full Text][Citation analysis]		paper0
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]		article4
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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This paper has nother version. Agregated cites: 4		paper
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]		article12
2013Asian and Australian options: A common perspective In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
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.
[Full Text][Citation analysis]		article2
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]		article9
2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
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]		article5
2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
[Full Text][Citation analysis]		article3
2025Market efficiency across intra-daily sampling frequencies for Brent crude oil futures In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
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
2008On the Qualitative Effect of Volatility and Duration on Prices of Asian Options.(2008) In: CRIEFF Discussion Papers.
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2017On the effects of changing mortality patterns on investment, labour and consumption under uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2023Trading time seasonality in electricity futures In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article2
2024The role of news sentiment in salmon price prediction using deep learning In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article0
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]		article7
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]		article2
2024On the Effects of Physical Climate Risks on the Chinese Energy Sector In: JRFM.
[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.
[Full Text][Citation analysis]		article0
2012A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control In: Computational Economics.
[Full Text][Citation analysis]		article0
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]		article5
2007Malliavin differentiability of the Heston volatility and applications to option pricing In: MPRA Paper.
[Full Text][Citation analysis]		paper15
2007Optimal management and inflation protection for defined contribution pension plans In: MPRA Paper.
[Full Text][Citation analysis]		paper23
2007INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL. In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2022Riding the Nordic German Power-Spread: The Einar Aas Experiment In: The Energy Journal.
[Full Text][Citation analysis]		article0
2009Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus In: CRIEFF Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus.(2011) In: Mathematical Methods of Operations Research.
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This paper has nother version. Agregated cites: 2		article
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]		article11
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]		article4
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]		article14
2010Optimal investment for a pension fund under inflation risk In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article30
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.
[Full Text][Citation analysis]		article0
2016The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2023Pricing Asian options with stochastic convenience yield and jumps In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2006A new technique for calibrating stochastic volatility models: the Malliavin gradient method In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2009Risk minimization in stochastic volatility models: model risk and empirical performance In: Quantitative Finance.
[Full Text][Citation analysis]		article29
2025Optimal income drawdown and investment with longevity basis risk In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		paper2
2005OPTIMAL 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]		article0
2009IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
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).
[Full Text][Citation analysis]		article0

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