Access Statistics for Christian-Oliver Ewald

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the Malliavin differentiability of the Heston volatility 0 0 0 189 0 0 2 432
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 0 0 0 56 0 0 0 308
Hedging longevity risk in defined contribution pension schemes 0 0 1 8 0 1 5 44
INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL 0 1 1 43 0 1 1 171
Malliavin differentiability of the Heston volatility and applications to option pricing 0 0 0 67 1 1 4 208
On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux 0 0 2 3 1 2 6 11
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making 0 0 0 1 1 1 2 4
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 0 0 265
Optimal management and inflation protection for defined contribution pension plans 0 1 2 87 0 2 5 377
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus 0 0 0 60 0 0 0 215
Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty 0 0 1 1 0 1 7 7
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 8 0 0 4 36
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 17 0 1 3 11
Stochastic Volatility: Risk Minimization and Model Risk 0 0 1 129 0 0 2 285
Total Working Papers 0 2 8 751 3 10 41 2,374

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA 0 0 0 0 0 1 1 4
A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control 0 0 1 50 0 0 1 142
A new technique for calibrating stochastic volatility models: the Malliavin gradient method 0 0 0 191 0 1 2 399
A note on the Malliavin derivative operator under change of variable 0 0 1 33 0 0 2 88
A stochastic differential Fishery game for a two species fish population with ecological interaction 0 0 0 32 0 2 4 131
An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield 0 0 2 11 0 2 5 28
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? 0 0 2 10 0 1 5 25
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide 0 0 1 16 0 0 3 64
Asian and Australian options: A common perspective 0 0 0 11 0 0 1 53
Asymptotic Solutions for Australian Options with Low Volatility 0 0 0 2 0 0 0 25
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model 1 1 1 17 1 2 3 71
Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk 0 0 0 11 0 1 2 51
Hedging longevity risk in defined contribution pension schemes 0 0 0 1 0 1 6 18
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS 0 0 0 4 0 0 2 16
Irreversible investment with Cox-Ingersoll-Ross type mean reversion 0 0 1 19 0 1 2 102
Local volatility in the Heston model: a Malliavin calculus approach 0 0 0 0 0 0 0 5
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY 0 0 0 7 0 0 0 25
Market efficiency across intra-daily sampling frequencies for Brent crude oil futures 0 0 0 0 0 0 0 0
Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance 0 0 0 10 0 1 2 79
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET 0 0 0 3 0 0 1 9
On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options 0 0 0 7 0 0 4 58
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales 0 0 0 0 0 0 2 17
On the Effects of Physical Climate Risks on the Chinese Energy Sector 0 0 2 2 0 2 12 12
On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures 0 0 0 12 1 2 5 41
On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities 0 0 1 6 0 0 3 34
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux 0 0 0 0 1 2 6 7
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter 0 1 3 19 0 2 8 61
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty 0 0 0 4 0 0 1 32
On the impact of feeding cost risk in aquaculture valuation and decision making 0 0 1 1 0 0 4 4
On the investment–uncertainty relationship in a real option model with stochastic volatility 0 0 1 15 0 1 5 57
On the non-equilibrium density of geometric mean reversion 0 0 0 22 0 0 0 86
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model 0 0 0 2 0 0 2 16
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 0 1 4 95
Optimal contracts for central bankers: Calls on inflation 0 0 1 3 0 0 2 18
Optimal income drawdown and investment with longevity basis risk 0 0 0 0 0 0 0 0
Optimal investment for a pension fund under inflation risk 1 1 3 25 1 1 6 65
Pricing Asian options with stochastic convenience yield and jumps 0 0 0 4 1 1 2 11
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus 0 0 0 5 0 1 1 22
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil 1 2 5 15 1 4 8 33
Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method 0 0 0 12 1 2 5 72
Privatization of businesses and flexible investment: a real option approach 0 0 0 7 0 0 0 50
Real options, risk aversion and markets: A corporate finance perspective 1 1 1 10 3 3 9 35
Riding the Nordic German Power-Spread: The Einar Aas Experiment 2 4 4 4 2 4 6 9
Risk minimization in stochastic volatility models: model risk and empirical performance 0 1 3 33 0 1 5 157
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures 0 0 0 0 0 0 0 1
Special Issue of on ‘Commodity Markets’ 0 0 0 2 0 0 0 7
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data 0 0 0 3 0 1 5 21
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model 0 0 0 3 1 1 3 21
The role of news sentiment in salmon price prediction using deep learning 1 1 2 2 6 7 18 18
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? 1 2 4 16 3 5 14 74
Trading time seasonality in electricity futures 2 2 4 10 4 7 10 18
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk 0 0 0 2 0 1 1 30
Total Journal Articles 10 16 45 695 26 62 193 2,517

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Statistics updated 2025-10-06