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 1 1 190 1 9 14 445
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 1 5 7 315
Hedging longevity risk in defined contribution pension schemes 0 0 0 8 1 6 8 51
INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL 0 0 1 43 1 7 10 180
Malliavin differentiability of the Heston volatility and applications to option pricing 0 0 0 67 0 6 8 214
On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux 0 0 1 3 2 8 14 22
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making 0 0 0 1 0 0 2 5
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 4 5 270
Optimal management and inflation protection for defined contribution pension plans 0 1 3 88 0 8 18 391
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus 0 0 0 60 0 3 4 219
Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty 0 0 1 1 0 5 13 13
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 17 0 2 3 13
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 1 9 2 10 14 48
Stochastic Volatility: Risk Minimization and Model Risk 0 0 0 129 0 6 7 292
Total Working Papers 0 2 8 754 8 79 127 2,478

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 2 5 6 9
A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control 0 0 0 50 0 1 3 145
A new technique for calibrating stochastic volatility models: the Malliavin gradient method 0 0 0 191 0 3 8 405
A note on the Malliavin derivative operator under change of variable 0 0 0 33 0 4 6 93
A stochastic differential Fishery game for a two species fish population with ecological interaction 0 1 1 33 2 8 11 140
An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield 0 0 1 11 0 3 6 31
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 0 10 0 3 6 29
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide 0 0 1 16 0 7 10 72
Asian and Australian options: A common perspective 0 0 0 11 1 6 6 59
Asymptotic Solutions for Australian Options with Low Volatility 0 0 0 2 0 1 2 27
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model 0 0 1 17 0 2 6 75
Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk 0 0 0 11 2 4 5 55
Hedging longevity risk in defined contribution pension schemes 0 1 2 3 0 5 11 28
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS 0 0 0 4 0 6 10 26
Intra-day seasonality and abnormal returns in the Brent crude oil futures market 0 2 2 2 1 6 6 6
Irreversible investment with Cox-Ingersoll-Ross type mean reversion 0 0 1 19 0 4 8 108
Local volatility in the Heston model: a Malliavin calculus approach 0 0 0 0 1 6 8 13
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY 0 0 0 7 1 2 3 28
Market efficiency across intra-daily sampling frequencies for Brent crude oil futures 0 0 0 0 2 4 6 6
Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance 0 0 0 10 2 7 9 87
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET 0 0 0 3 0 4 7 15
On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options 0 0 0 7 0 7 11 69
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales 0 0 0 0 1 4 4 21
On the Effects of Physical Climate Risks on the Chinese Energy Sector 0 0 0 2 0 3 7 15
On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures 0 0 1 13 2 10 14 52
On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities 0 0 1 6 0 4 9 40
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux 1 1 1 1 1 2 9 12
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter 0 0 3 19 1 32 40 95
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty 0 0 0 4 0 4 4 36
On the impact of feeding cost risk in aquaculture valuation and decision making 0 0 0 1 0 3 3 7
On the investment–uncertainty relationship in a real option model with stochastic volatility 0 0 0 15 0 5 8 64
On the non-equilibrium density of geometric mean reversion 0 0 0 22 0 5 5 91
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model 0 0 0 2 1 3 4 20
On the predictive power of food commodity futures prices in forecasting inflation 0 0 0 0 0 0 0 0
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 4 8 11 104
Optimal contracts for central bankers: Calls on inflation 0 0 0 3 1 3 3 21
Optimal income drawdown and investment with longevity basis risk 0 1 1 1 1 5 5 5
Optimal investment for a pension fund under inflation risk 0 0 2 25 2 10 14 75
Pricing Asian options with stochastic convenience yield and jumps 0 0 0 4 2 10 11 21
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus 0 0 0 5 1 5 8 29
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil 0 0 3 15 2 7 14 42
Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method 0 0 0 12 4 10 17 87
Privatization of businesses and flexible investment: a real option approach 0 0 0 7 0 2 4 54
Real options, risk aversion and markets: A corporate finance perspective 1 1 4 13 3 9 18 48
Riding the Nordic German Power-Spread: The Einar Aas Experiment 0 0 4 4 1 8 16 21
Risk minimization in stochastic volatility models: model risk and empirical performance 0 0 2 33 1 4 10 164
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures 0 0 1 1 1 2 7 8
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’ 1 2 2 2 2 7 7 7
Special Issue of on ‘Commodity Markets’ 0 0 0 2 1 3 5 12
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data 0 0 1 4 0 5 9 27
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model 0 0 0 3 2 2 8 27
The pricing of total loss absorption capacity bonds in a jump-diffusion model with regime-switching 0 0 0 0 0 1 1 1
The role of news sentiment in salmon price prediction using deep learning 0 0 2 2 4 27 43 50
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? 0 0 3 16 2 11 22 87
Trading time seasonality in electricity futures 0 2 5 13 3 18 31 42
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk 0 0 0 2 1 5 9 38
Total Journal Articles 3 11 46 713 58 335 534 2,949

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