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 1 190 0 2 17 449
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 4 12 320
Hedging longevity risk in defined contribution pension schemes 0 0 0 8 0 2 14 57
INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL 0 0 1 43 0 2 13 183
Malliavin differentiability of the Heston volatility and applications to option pricing 0 0 0 67 0 3 12 219
On the Adaptation of the Lagrange Formalism to Continuous Time Stochastic Optimal Control: A Lagrange-Chow Redux 0 0 0 3 0 1 19 28
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making 0 0 0 1 0 2 4 7
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 0 5 270
Optimal management and inflation protection for defined contribution pension plans 0 0 2 88 0 5 23 398
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus 0 0 0 60 0 1 5 220
Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty 0 0 0 1 0 1 8 14
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 1 9 0 3 16 52
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 17 0 2 6 16
Stochastic Volatility: Risk Minimization and Model Risk 0 0 0 129 0 1 8 293
Total Working Papers 0 0 5 754 0 29 162 2,526

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 7 10
A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control 0 0 0 50 0 2 6 148
A new technique for calibrating stochastic volatility models: the Malliavin gradient method 0 0 0 191 0 2 10 408
A note on the Malliavin derivative operator under change of variable 0 0 0 33 0 8 13 101
A stochastic differential Fishery game for a two species fish population with ecological interaction 0 0 1 33 0 6 18 147
An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield 0 0 0 11 0 2 7 33
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 4 11 35
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide 0 0 0 16 1 4 13 77
Asian and Australian options: A common perspective 0 0 0 11 1 5 11 64
Asymptotic Solutions for Australian Options with Low Volatility 0 0 0 2 0 5 7 32
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model 0 0 1 17 0 2 8 77
Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk 0 0 0 11 0 5 13 63
Hedging longevity risk in defined contribution pension schemes 0 0 2 3 0 3 17 34
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS 0 0 0 4 0 5 16 32
Intra-day seasonality and abnormal returns in the Brent crude oil futures market 0 0 2 2 2 5 13 13
Irreversible investment with Cox-Ingersoll-Ross type mean reversion 0 0 0 19 0 7 15 116
Local volatility in the Heston model: a Malliavin calculus approach 0 0 0 0 0 1 11 16
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY 0 0 0 7 0 1 4 29
Market efficiency across intra-daily sampling frequencies for Brent crude oil futures 0 1 2 2 0 8 18 18
Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance 0 0 0 10 1 2 11 89
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET 0 0 0 3 0 1 7 16
On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options 0 0 0 7 0 2 14 72
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales 0 0 0 0 0 0 4 21
On the Effects of Physical Climate Risks on the Chinese Energy Sector 0 0 0 2 1 4 9 19
On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures 0 0 1 13 0 3 17 56
On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities 0 0 0 6 1 4 10 44
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux 0 0 1 1 0 0 9 14
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter 0 0 1 19 0 8 46 105
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty 0 0 0 4 0 4 9 41
On the impact of feeding cost risk in aquaculture valuation and decision making 0 0 0 1 0 2 5 9
On the investment–uncertainty relationship in a real option model with stochastic volatility 0 0 0 15 0 1 9 65
On the non-equilibrium density of geometric mean reversion 0 0 0 22 1 4 9 95
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model 0 0 0 2 1 2 7 23
On the predictive power of food commodity futures prices in forecasting inflation 0 1 1 1 0 2 3 3
On the qualitative effect of volatility and duration on prices of Asian options 0 1 1 22 0 2 14 108
Optimal contracts for central bankers: Calls on inflation 0 0 0 3 1 3 6 24
Optimal income drawdown and investment with longevity basis risk 0 0 1 1 0 2 7 7
Optimal investment for a pension fund under inflation risk 0 0 1 25 0 9 20 84
Pricing Asian options with stochastic convenience yield and jumps 0 0 0 4 0 3 14 24
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus 0 0 0 5 0 1 11 32
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil 0 0 2 15 1 8 23 52
Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method 0 0 0 12 2 14 37 107
Privatization of businesses and flexible investment: a real option approach 0 0 0 7 0 6 10 60
Real options, risk aversion and markets: A corporate finance perspective 0 0 4 13 0 2 19 51
Riding the Nordic German Power-Spread: The Einar Aas Experiment 0 1 5 5 0 5 23 28
Risk minimization in stochastic volatility models: model risk and empirical performance 0 0 1 33 0 3 12 168
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures 0 0 1 1 0 1 8 9
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’ 0 0 2 2 0 3 11 11
Special Issue of on ‘Commodity Markets’ 0 0 0 2 1 4 9 16
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data 0 0 1 4 0 5 12 32
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model 0 0 0 3 0 5 12 32
The pricing of total loss absorption capacity bonds in a jump-diffusion model with regime-switching 0 0 0 0 0 7 9 9
The role of news sentiment in salmon price prediction using deep learning 0 0 1 2 1 7 46 57
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? 0 1 4 18 3 9 31 100
Trading time seasonality in electricity futures 0 1 6 14 1 12 44 55
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk 0 0 0 2 0 4 19 48
Total Journal Articles 0 6 42 721 19 230 784 3,239

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